Also depends on the product.
Hard drives will come without cables and mounting equipment, CPUs without HS/fan and slim warranty, etc.
However, when dealing with video cards and sound cards and the like, the actual hardware can be very different. OEM versions of these normally use cheaper memory modules, leave certain features off or disabled and such...not to mention the lack of software. Usually come in a plain white or brown box too.
It's a good idea to make sure you know exactly what you're getting when going for OEM products.
I almost always buy OEM processors and hard drives though. I just save too much not to.