The retail usually contains more CDs, and the extra CDs generally have just about any open source linux program you can find on the Internet and the source for them. (If I recall, the SUSE distro I got years ago had 7 CDs, and Red Hat had 5.) But the first CD is the installer, and besides that has about all of the utilities included that an ordinary user is likely to want, and seems to be close to, and probably is identical to, the download version.
The installer of the recent versions of Red Hat and Mandrake is so automatic, there is not a lot to be gained by using the manual during setup. Not that there won't be some mysteries if you have never seen Linux before. I got a big kick out of the way Knoppix boots and installs itself completely from the CD in maybe 2 minutes without needing the HD.