OEM means Original Equipment Manufacturer. Basically it's a HDD that will come without retail packaging. Also, it will not come with cables. If it's serial ATA, you'll need to have a SATA cable. If it's IDE, you'll need to have an IDE cable.
Also, OEM products usally can only be RMA'd through the manufacturer, not the retailer.
Basically a retailer can buy a bunch of HDD's without retail packaging at a much cheaper price. Then also sell them a cheaper price. They are mostly for system builders, that already have the retail packaging wires and such.