You can get LED bulbs that are OEM lol.

But LED lights that are made by reputable companies like Philips or Sylvania are better than standard halogen bulbs but make sure to buy ones that meet OEM specs.

Trick question. Some cars already come with LED lights. Others have halogen, which are older tech. 

LED lights have a longer life span and are brighter. However, you have to be careful. Some LED's emit more heat than their halogen counterparts depending on how hot of a bulb you go, particularly with headlights. A lot of OEM light housings have limits as to what you can safely use. 

A lot of times it is better to find an aftermarket light kit that is made for LED's and comes with quality bulbs. 

That's exterior lighting. Interior lighting you can usually plug and play and just get a brighter overall light source.

for signals and marker lights sure. I don't like LED headlights.

LED (Light Emitting Diode) format lighting is best in any situation, in my opinion. (but who puts them together is really important too!) They are safer for seeing at night, draw less power, run cooler from conventional lighting, and have a longer lifespan, (as long as they are built well), and the device they are going into doesn't have any electrical issues or surge back problems. 

As far as the actual question, OEM stands for original equipment manufacturer. That can mean any type of bulb.