Yes. When you hover over a Dashboard widget's icon in the DBdock, there's a small 'forbidden'-icon (bad choice?) in the name tag which you can click to remove the widget. This icon's only there for third party widgets, though, i.e. you can't remove Apple's widgets.
Also, when you download a widget with Safari, it isn't auto-installed anymore. Once you double-click a widget in the Finder, you get a dialogue box that lets you test-drive/install/cancel. The test-drive is a "safe place" to run the widgets. Basically, you simply get a few more steps until a malicious widget would do its stuff. Doesn't mean someone could still create a bad widget that tricks you into installing it, though - but it's still safer, since it doesn't get auto-installed.