Widgets are chrome-less , client side applications which can run without any runtime environment they do not open in any form like a windows form. Widgets are special programs written by people all over the world.
Most of them are free wares and many of them provide various functions and utilities. Some games are also available as widgets.
Opera is one good browser which can run a wide variety of widgets and applications .While browsing you can play a game for some relief and stuff like that.
Widgets can also be found in various websites for increasing the user friendliness.