Retail comes with a Heatsink, Fan, manual, warranty, etc. OEM is just the chip itself. I typically buy OEM because I have no need for anything else (except maybe warranty, but oh well), and it costs less, but you may want to go with retail depending on what you want.
You can usally get a pretty cheep heat sink that's a lot better than a stock one. Just make sure you get one that's compadable with the chip you're getting.