Remember with OEM you cannot contact Microsoft for help; the OEM is supposed to provide the end user with help. But if you build your own PC, you are both the OEM and the user, so you have to help yourself. Probably a moot point for most: I can't imagine ever calling Microsoft for support.
When I bought my copy of XP SP3 from NewEgg, they required you to also purchase the parts for a whole system at the same time: motherboard, CPU, RAM, video card, power supply etc, before you could buy the OEM version of XP, since OEM is licensed to come with a new system. Has that now changed?