Widget (or Gadget) is mini web application that can provide useful live content such as RSS feed, weather information, current date and time etc.
Desktop Widget (or Desktop Gadget) is a mini application that can be installed and viewed on desktop and does not require web browser. In Vista there are few applications that are installed by default, and you can see them on right side of your desktop. You can delete or add widgets.
Web Widget (or web Gadget) is a portable piece of code that can be installed on a web page you own, like blog, website or your iGoogle page.
