With OEM you get a drive, and that's all. Often even no special packaging - you get a drive wrapped in bubble wrap and then in a small cardboard box to mail it. No instructions or anything. However, you usually can go to the maker's website for some help.
A Retail package usually is better packed in its own artful box and comes with a brief installation brochure, a disk of software utilities, and often a data cable (maybe even a power cable for SATA drives) to connect it. Maybe even mounting screws. Check the item description carefully to see exactly what is in the package.