In the PC market, it can also mean a couple of other things.
Lets say you order a CPU, if it is retail, it usually includes an OEM reommended fan. Is that confusing or what?
OEM is Original Equipment Manufacturer. It is supposed to mean that what you are buying is built by the oem but this has somehow become distorted to mean several things like gettting the video card but not the games, drivers, cables, adapters, etc. with the card or getting the CPU but no fan.
And as pointed out, it can effect your warranty although the OEM warranty is really all I care about unless I buy something locally at a retail outlet. Then, I would expect local return\repair from who I purchased from.
Retail usually comes in a pretty marketing box like you would see in any retail store.