
Yahoo! Widgets are pretty cool.
Main site is here.
Gallery of widgets here.
Building is not too hard. There's a Software Development Kit (SDK) available for download which includes both the Widget Dock and documentation.
Each widget is scripted using XML, using the file extension '.kon'. After that there's just JavaScript. You can embed JavaScript in your XML file or create separate JavaScript source files and import them into your XML file.
My Option Pricing Calculator widget uses AJAX to talk back to some PHP code which does the fancy maths.
Lots of fun.
Matt