Retail and OEM versions go like this (in most cases): Retail hard drive is in a box, has a warranty, etc - OEM hard drive is just the harddrive. Retail processor comes with the box, heatsink and fan, warranty; OEM is just the processor with no fan or heatsink. Retail video card comes with the video card, wires, bundled software, box, etc; OEM is just the video card. Retail is usually the better option for most peripherals and they *usually* don't cost much more.
What size case depends on your use. I use a tower case for room, uprgradability value and ariflow. Most people prefer a mid tower ATX - and this is most likely what you will want. I do not recommend getting a baby ATX (the small ones) because your components will have little airflow and can overheat easily - plus you wont have much room for anything. Like I said before, I recommend Antec PSU, so you can also buy your case from them - they have the most reliable PSUs that wont die on you in a year like most budget ones do. 350-400 watts should suffice.
RE: CD-RW - any kind will do really. But* if the noise a CD-ROM generates bothers you, then you will want to look at some of the brandname ones, because generic ones are prone to making more noise - it all depends. This is especially true for DVD ROMs - the brand does make a difference in that case (if you care about the noise).
Modem? I haven't used one of these in years so I'm not sure on how the technology has improved over the years. I think v.92 is the current standard (someone correct me if I'm wrong) so just make sure it lives up to the current modem standards. The brand may or may not make a difference.