What are Widgets (Blog Widgets)
Widgets are the little things that people place in the sidebars and other low-value parts of their site. They do this to provide additional features, to show affiliation with something, to prove the value of their blog, to make money from their blog, basically they do it for a lot of reasons. Prominent examples include the MyBlogLog widget, Last.Fm widget, Adsense widget, Flickr photostream widget, the Google Analytics widget (hidden widget, but still a widget).
Even fast blog widgets are slow
Each file that gets downloaded takes time because of the size of the file itself and also because of the additional request. Each file request has additional overhead associated with it. So, downloading 1 file that is 2MB will take less time than 2 files that are 1MB each.
Widgets add more files to your page. More files makes your page slower, even if they are served quickly. But what if they are served slowly or - ghasp - the widget server goes down.