I really dislike the grey rectangle bullets in this theme. I don't want any bullets anywhere, but especially in the links widget. I want to have a list of images that are links to other sites, and the grey bullet looks awful. See the left sidebar image here:
http://www.cfablog.org/

How do I get rid of the bullets? I've been looking everywhere.

Look at the sidebar styling options

And look near the bottom of the Style Widgets section of the them options.