Apple Developer Connection: Developing Dashboard Widgets
Apple Developer Connection: Dashboard Programming Guide
MacDevCenter.com: Build a Dashboard Widget
MacDevCenter.com: Let's Build Another Dashboard Widget
Mesa Dynamics: Amnesty lets you run widgets outside the Dashboard, which is useful when you're debugging them. ($20, seems cool enough to buy if you made a lot of widgets. 30 day trial.)
I do wish Apple would make an IDE for building widgets. It'd be helpful.
Also, you can open up any widget and look at its source code by control-clicking/right-clicking on it and selecting "Show Package Contents".