Microsoft has release the first public release of the Windows Live Gadgets SDK, you can find it MicrosoftGadgets.com. You can also find the Gadgets Development Overview for Microsoft Sidebar for Windows Vista Beta 2 on the site.
Developing Gadgets for both live.com and Microsoft Sidebar will be really easy and fun. But I see a problem with only having live.com as the only web-based Gadget host (host meaning where the Gadget can execute). I would like to see an implementation in either Microsoft SharePoint Services or as a standalone product, so you can host Gadgets in an Intranet scenario. There are some examples on how to host your own Gadgets; for example Donovan West has an example using an iframe solution. The problem is still that the Gadgets are hosted externally which is not that great if you think about security issues.