The OED does not include proper names unless they are widely used in a particular context (for instance, "Chamberlainism," "Shakespearian").
Letters of the alphabet each have their own OED entry, discussing the history of each letter in typography and usage.
Initialisms are sequences of letters that refer to a full expression ("USA" = United States of America).
Acronyms are initialisms that are now words: for instance, NASA is now a word itself, and is no longer only short for the National Aeronautics and Space Administration. (You can view a list of acronyms in the OED here.)
Abbreviations are shortened words ("Rev.", "p.s.").
Affixes involve adding something to make an entirely new word: "pro-," "re-" and so on. These will usually have their own entry.
Ghost words are words that were originally misspelled or misprinted, made their way into the English language, and now are considered spurious. (The OED currently lists about 400 words which originated "in error," some of which are ghost words.
Citing an OED entry | To export a citation for an OED Online entry, click the "Cite" link at the top of the entry to export it to several different citation management tools (including RefWorks) in MLA or Chicago format:
Using the Print OED
Below is a sample entry with explanations of abbreviations from the print edition of the OED.