the parts will be exactly the same, u just won't get all the extra stuff that comes in the package. (and u won't probably get the package either, just a small brown box or something)
Should u get OEM or retail? It really depends on the part we are talking about. Like for the mobo I'd definitely go with retail, since then u get all the IDE, sata, etc. cables. And with processors if u go OEM then u need to buy an aftermarket heatsink and fan for it. U can save a lot by going just OEM, but make sure u get all the cables etc. for the build.