While clicking around in Mac OS X’s Dashboard, I stumbled on this nice little trick. Bring up Dashboard, hold down the Option button, and then hover over a widget. A little icon will appear in the top-left of the widget, allowing you to close it right on the spot.
This saves you the extra step of bringing up the Manage Widgets bar at the bottom of the screen.
You could also use the Widgets widget, but why take up the extra space?