OpenID is purely* for multi-site authentication with a single set of credentials.
OAuth is for letting applications access each other securely: data sharing. Think of it as setting a bond of trust between two things, eg allowing your flickr account to post things on your facebook wall or hooking your flickr photos into a third-party printing website.
OAuth isn't just about site-to-site. You can link in desktop applications with no real concept of "identity" to an identity-driven site like Facebook or twitter (eg a twitter client being able to post to your feed without having to store your login details).
There are similarities but OAuth is really all about the service-to-service links.