OEM - It will save you some cash and the product is still new. It may not include the original packaging, documentation/CDs, installation equipment, and cables. Usually you just get the item. For instance, an OEM hard drive will just be the drive in a box. No screws, IDE cable, mounting brackets, format software, etc. Usually parts that require drivers will come with them on CD. So it's up to you. If you already have all the extra parts and are okay with downloading the documentation/drivers from the manufacturer's website, then OEM is a fine option. You can check reviews for OEM products to see what is left out (ie. on newegg)
Open Box - AKA Refurbished. The product has been purchased, shipped, opened, reshipped, tested, repackaged, and reshipped to you. All that handling, would you really trust it? It is possible that the company did thorough testing to verify that the product was working and replaced any broken parts. But maybe they missed something. For instance, a hard drive could have been starting to fail and have intermittant problems. The person ships it back. The company tests it and doesn't see the problem so they send it to you. Now you have a hard drive just prime to fail. Open Box can save you even more money but at high risk! If you do buy this way make sure the company is reputable and has a good return policy (ie. newegg!). Check to see if it still has a warranty. Buyer beware! The part may or may not come with everything.