If you buy the OEM version of Microsoft Windows XP Pro w/ SP2, then you are going to get Microsoft Windows XP Pro w/ SP2. I always thought that OEM stood for Other Equipment Manufacturer which is why it is cheaper, and so in other words, instead of getting a fancy box with all the manuals, registration key and CD(s) inside, you will only get the CD(s), manual and registration key.
The difference between OEM and Retail in this situation is that if you buy the OEM version, I don't think it will allow you to re-install it again if a partition on your hard drive goes wrong. If you buy the retail version, I think you get three licenses to re-install it. Buying the OEM version is by far the best option, that is why there are more OEM versions sold over Retail.
Don't worry though, it is a perfectly legal version of Windows, just without the box and extra licenses.