With the retail package you'll get a 3 year warranty from the manufacturer and a HSF which is adequate as long as you don't plan to OC. With OEM you'll usually get a 15 or 30 day warranty and you'll have to buy a HSF, which offsets a lot of the difference in price between OEM and Retail.
My opinion is, go retail if you don't plan on OCing, go OEM and get a good HSF if you do want to OC.
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