With a CPU for instance you don't get a heatsink and fan supplied and the warranty may be shorter(on AMD you get 3 years with retail and 1 year for OEM). As said though it varies according to the components, as a general rule add-in cards(sound, graphics etc) will come in a box with the driver disk and will come with only necessary cables to connect them but no extras, hard drives/optical drives will come as bare drive only, often in an anti-static bag in a plain box.