OEM stands for Original Equipment Manufacturer. It is not neccessarily bad to buy OEM hardware, as it is exactly the same product that you get when you buy it retail. However, there are two very important differences between them:
1) OEM items usually do not come with the neccessary cables, connectors, etc. to make that item work. You will have to buy those things on your own in order to support that OEM mobo, videocard, hard drive etc. You will also not receive additional programs, games or software with that OEM item save for the neccessary drivers to install that item.
2) OEM items are cheaper than their retail counterparts; not a whole lot, but you do save some money. Most likely due to the fact that OEM stuff does not come with the additional cables and hardware that retail items do (see point #1), and also because OEM stuff is bought in bulk from computer makers like Dell, Gateway, Alienware, etc.