It depends on where you are and what else you need to buy. An OEM version of XP Home or Pro costs less than the retail version, but the license restrictions say you have to buy some other hardware with it. If there's a local clone shop near you, you can probably buy it, there, and you won't have to pay shipping. Major online shops also carry it.
For example,
fry's.com has OEM versions of XP Pro for $138 and XP home for $90. You will have to buy a piece of hardware to qualify for that, but you can probably find something you want (DVD burner, RAM, etc.) that costs less than the difference between the price for the OEM and retail versions. The difference between the two is mostly how much support you'll get from Microsoft if you need help.
If you have a previous version of Windows, you may save money buying an upgrade version, but most serious users prefer to do a clean install, instead of installing XP over an earlier version.