It's not a huge deal, but some people like the open safe files feature in safari (i personally don't, but to each his own... or whatever). In response to adambyte, the "open safe files" feature of safari will automatically launch the widget in dashboard. you don't have to drag it from your widget dock. however, it will ask if you really want to run the widget prior to the first time running.
there are a few apps out there that "fix" the "security hole" (widget the world watcher is one that comes to mind). the other solution is to chown the ~/Library/Widgets folder to the root user and chmod it to group read+execute. safari will no longer have permissions to write to the folder and will leave the widget on the desktop. when you drag the widget to the folder, you will be asked for the root password (similar to when you install some software apps e.g. photoshop, office, etc.)
