Some widgets are included with Wordpress. Some are included with Atahualpa. Others can be downloaded as plugins from wordpress.org in the Extend area. Some plugins create widgets when they are activated, to accomplish some task in a sidebar. Thousands of smart people are writing new widgets all the time.
You can also create your own widget using the Text widget, if you want to put some text or HTML in a sidebar. For instance, you might want to say, "This is my web site" in the sidebar. Just use the Text widget, type that text in it, and save it. Or put the HTML for an image there.
You should read about widgets and plugins at wordpress.org. It's fun.