Generally speaking, widgets don't cause all that much harm. Considering their abilities, they use up quite a lot of resources once they are loaded onto the system (mainly RAM) though. Having said that, widgets can break systems although this is extremely rare (because they're so simple) and usually easily fixed. 🙂
Don't worry about getting a virus (or spyware) from a widget though. Just use a bit of common sense and you can't go too far wrong. 🙂