You are entitled by the OEM license to change/upgrade the motherboard if the original was faulty. You will need to go through the MS phone service to reactivate in many cases though.
If it is an upgrade for the sake of upgrading, then you will need a new license. With Retail you can change any hardware you wish at any time.
In terms of price, OEM does tend to be cheaper, but you have many more restrictions. Firstly you can't upgrade your motherboard as said. Also you may not use it on another computer in future. These days Retail isn't that much more expensive, so there is no logical reason to go OEM.