Technically, MS has put wording in the OEM license that gives them the right to not allow the OS to authenticate (authorize, whatever) after major hardware changes. In practice, MS very rarely refuses to unlock the OS after hardware changes, even with OEM license keys. There is also a different level of authorized support with OEM, but for most people it still amounts to the fact that you won't get any personal attention from MS unless you pay for an expensive support plan.
Also, you might find other oddities, like an OEM version might refuse to do an "upgrade" install from an existing win9x installation, or other quirks like that.
For most people, it really won't matter whether you get the retail or OEM version. I have a couple of active OEM licenses at home, and none of them have been denied activation following hardware changes. At worst, I've had to call MS and have them give me the usual lengthy activation key after 15 min on hold.