An Original equipment manufacturer, or OEM, manufactures products or components that are purchased by a company and retailed under the purchasing company's brand name. OEM refers to the company that originally manufactured the product.
It's commonly the parts inside your Dell, or HP, or Gateway Computer. For instance when Dell buys processors, they buy thousands at a time, just bare processors, nothing else, no packages, no instructions, no software, no frills.
Many times though, retail vendors will also buy these parts, in bulk, and offer them for sale to end users. The parts are pretty much sold as is, no warranty, no support, no manuals, software, or retail packaging. They will come in a little plastic case, or say in the instance of a GPU, a plain brown cardboard box. You can buy OEM versions of Windows too, but it can only be installed on 1 PC. You cannot upgrade or transfer the install to another PC, and no Microsoft support.
You must buy from a reputable source, the lack of retail packaging and no warranties or support, OEM parts are easy to be faked, remarked or pirated, and leave you no recourse if your $500 OEM i7 Extreme processor you thought you were getting a screaming deal on, turns out to be a remarked 930 once you get it.