This seems like it could be one of those ".OGG iTunes Icon" kind of thing. After all, who really needs it. I do, however, think it would be nice if Safari, when downloading a widget, was smart enough to take care of everything automatically. Imagine:
1) I'm at a website with a widget
2) I press "Download" in the website
3) Safari detects a widget. It asks "Download Widget?" It sends the download to the widget folder and unzips it without doing anything in the finder (it takes care of itself).
4) The Widget comes up in its protective bubble
This process would trim out lots of dialogs, zipping, and complicatons. It would also leave no trace on the desktop.