No it is not worth upgrading to Ultimate, I tried it out and trust me there isn't much extra apart from Dreamscene backgrounds.
With Retail (the name speaks for itself) you get Vista in shops at the RRP with all the casing and such.
Now with OEM (Original Equipment Manufacturer) this is the version installed by the computer manufacturers such as Dell, Acer, etc.
You can buy an OEM version which is
alot cheaper but if you're only building a PC and will only receive the disc in a plastic wallet and nothing else.