A widget is a small, specialized application you can download and run on your desktop. Some of the most common widgets are clocks, battery monitors, calculators, calendars, news aggregators, and weather forecasts. More specialized widgets even let you track flights or monitor traffic on your route home.

Because they don't take up much space, look fun, and handle live data well, widgets can be an alternative to a lot of open browsers or system tools.

In Windows, support for widgets is provided by Yahoo! Widgets. Yahoo! Widgets are powered by the Yahoo! Widget Engine which is required to run Yahoo! Widgets. The Yahoo! Widget Engine runs on both Macintosh and Windows computers. Apple computers also run native widgets on Mac OS X v10.4.

More Information on Widgets:

Wikipedia

Yahoo Widget FAQ

Apple Dashboard