Builds a list or drop down of all of the categories that you have used on your site.  The categories will be linked to a list of posts that have this category assigned to them.

To add a widget all you have to do is go to your widgets admin page and drag one of the available widgets into one of the available locations.  Each of the available locations are on the right side with a grey background and are directly associated with the sidebars of your site.  If you have multiple sidebars, you will have multiple places to put your widgets.  You can even drag the widgets inside the sidebar areas around to change their order.

To edit a widget, all you have to do is click the arrow on the right side of the widgets you have already added to your sidebar.  The widget edit interface will fly out and some options will appear. You can change any of the options, press the save button and then view the changes on your website immediately.

You can remove a widget by opening the “edit” interface for the widget and then clicking “delete”. You can also drag the widget out of the sidebar box and drop it somewhere else.

Puts a search box on your site that will allow visitors to search all of the content on your site by keyword or phrase. When users search then WordPress will list out the posts that match the search criteria.

Shows all of the blogroll or other links that you have added to your site.  In your sidebar each link section will be listed out with the links under the section header.

Builds a calendar with the days of the calendar linked if there were one or most posts on that day.  This is useful for your visitors to see that you consistently post to your site and they can see what you posted about in the past.

Gives a List of recent months where you posted content to your site.  This is useful for your visitors to see that you consistently post to your site and they can see what you posted about in the past.

Gives links to special areas of your site including the admin pages, logout pages, posts RSS feed, comments rss feed, and the main WordPress site.

Gives a list of links to the pages on your site. This is very useful for giving your visitors another way to find your pages, other than your site’s menu.