the 940 is an 125w AM2+ chip, the 945 a 95w AM3 (runs cooler, uses less energy, can go into an AM3 motherboard and support DDR3 memory)
OEM CPU are designed for mass PC builders, rather then retail versions for the general public. newegg (among others) buys them in mass and sells them cheap to the public. they don't come with heatsinks, fans, paperwork, or a manufacturer's warranty. you just get the CPU. newegg will provide a 30 day warranty, check with other retailers on their warranty policies.
The Phenom II X4 940 can only be used in AM2+ motherboards with DDR2 memory, and runs hotter and more power hungry than the Phenom II X4 945 which is an AM3 CPU, and works in both AM3 motherboards with DDR3 memory, and AM2+ motherboards with DDR2 memory.
OEM means 'Original Equipment Manufacturer' - It means that the CPU is intended for those who plan to make multiple systems, and also Dell/HP for example in some cases (not from newegg though), and does not come with a case badge, documentation or a heatsink. The warranty comes from the supplier instead of AMD's three year warranty.