Well, Dashboard widgets are memory hogs because each one is like its own dedicated web browser.
But all OS X apps use quite a bit of RAM compared to the way things were in OS 9. I'm still not entirely sure why this is. Part of it surely has to do with the fact that unlike in OS 9, every app in OS X has its own protected memory space, and operates in its own largely-isolated environment. That means that where applications would share memory in OS 9, each app might have its own copy of that memory in OS X. This is a good thing; it keeps applications from stepping on each other's toes and it's what makes OS X darn near uncrashable.
That's certainly not all there is to it, though. I'm sure OS X's GUI plays a role. Every window in OS X is double-buffered and composited on the fly, which costs some RAM and CPU power but gives us cool things like Exposé. There are a lot of features like this built into OS X, and everything is a tradeoff.
Of course, sometimes the applications really are just not as efficient as they could be. Developers take the power they're given and they use it. In some cases, they use it to make their lives easier, resulting in less efficient programs that take a lot less time and effort to make. Again, it's a tradeoff. I doubt we'd have nearly as many cool programs as we do if software development were as hard as it once was.
But again, I'm not sure what all the reasons are. These are just a few, and I can't begin to say how they weigh against each other in practice. It still bugs me that an app that uses 1-2MB in OS 9 uses 15MB in OS X, but I've come to terms with the fact that the rules have changed.
As for the large "virtual memory" sizes, that's sort of a non-issue, since a lot of that IS shared. For example, right now Activity Monitor reports 6.75GB of VM usage, while my actual VM swap files total only 1GB. The more apps you have loaded, the larger this discrepancy will be. The virtual memory usage reported by Activity Monitor and the like are only really useful for developers debugging their apps, I think.