Depends on what you mean by spyware.... In the traditional Windows sense, I think, the answer is no for two reasons:
1) Windows spyware are applications that run on the host computer (yours) that are installed and activated without your permission, typically through ActiveX mechanisms. Although it was not true in the original Tiger, at present, none of the major Tiger browsers, including Safari, will allow a downloaded widget to install itself and activate without your permission.
2) I don't think there's a feature per se that allows a widget to run "invisibly"
On the other hand, Widgets communicate with websites, and can also extract information from your computer (calendar or address book entries, mail status, etc, etc) and some of them also communicate with websites and provide them information through mechanisms like Post / maintain cookies with them.
So for instance, as far as I can tell, there's nothing that prevents someone from creating a widget that would do something like retrieve your calendar or address book and post the information via HTTP to a retrieving server somewhere on the public internet. And this uses outgoing port 80, and so your firewall would not protect you from this.
But you would have to willingly install the widget.
What do people think about that? It seems accurate; if you combine what, say, the Address Book widget can do, with what the Translator widget can do, you have everything you need to accomplish this, don't you?

There's no obvious mechanism of which I'm aware which prevents a miscreant widget plus a private website to receive the data from doing this.