One of the big surpises I got from Vista was Sidebar. Why was it a surprise? I tried Konfabulator (now Yahoo! Widgets) and Apple Dashboard in Mac OS X. But, neither one caught my interest enough to keep using them. Apple Dashboard, in particular, really caught my interest before its release. But, I didn't like its forced mode switching. You are either using the Tiger desktop or you are in Dashboard mode. So, the inclusion of Vista's Sidebar did not interest me at first. In fact, it did not interest me the second time I looked at it during the late Beta-2 cycle because it didn't seem to work well even for a beta release component.
This all changed when I revisted it during the Release Candidate 2 stage though. For reasons I can't clearly identify enough to articulate, the simple single function gadgets became not just useful, but somehow indispensible. For me, one of the reasons to move from XP to Vista was to have Sidebar and its Gadgets available.
Here's a couple of tips to get you started. If the solid, sometimes brightly colored Gadgets, seem a bit visually intrusive, you can set opacity levels (transparency) for each individual Gadget. If you right click on a Gadget, a pop-up menu appears. If you select the Opacity option, you should see a side menu appear as in the screencap above that lets you set transparency. If you hover the mouse pointer over a gadget, it pops back to 100% opacity (solid) again. I have my Gadgets set to 40% opacity. You can see what it looks like in the second screencap.
You can find Sidebar global settings options in the Control Panel applet named Windows Sidebar. As you can see in the third screencap, it lets you decide where to place the Sidebar (left or right) and which monitor to display it on if you have more than one.