Retail vs. OEM
The biggest difference between a retail and OEM product is how warranties are handled. Most retail products come with very well defined terms for service and support in case the product has any problems. OEM products on the other hand will generally have shorter warranties and limited support. The reason is that the OEM product is supposed to be sold as part of a package via a retailer.
As a user who is building a computer system or upgrading a computer system, the retail version may also be important. If you are unfamiliar with what is required to install the component into the computer system, the manufacturer instructions can be very useful as are any cables that you may not have.
There should be no physical difference in a component if it is sold as OEM or in retail. The difference is the extras that are provided with the retail version. If you are comfortable with the terms of the OEM product compared to the retail version, then it is generally better to buy the OEM product for the reduced cost. If items such as product warranties bother you, purchase the retail versions for the piece of mind they provide.