I started to look at Vista sidebar gadgets around the time that Beta 2 went public (back in May 2006). At that time the sidebar itself was pretty buggy - often requiring a complete restart to pick up any changes made to the gadget, and there was no proper XmlHttpRequest support of any use (i.e. you couldn't call a webpage on a remote server).
After coding this gadget in my spare time to demonstrate some of the capabilities of the sidebar, I've had a number of requests to upload it - so bowing to demand here is my Live Departure Boards UK demo gadget. Quite simply, it shows a list of trains departing from a UK station you choose. Optionally you can filter by a particular destination. If a train is late, it will tell you what time it is expected - and if it is cancelled the whole thing will be highlighted in red.
Screenshot: Main gadget with flyout open.

Probably the most interesting thing from a technical perspective about this gadget is that it does not rely on any server-parsed code as its data source. All the data comes directly from the National Rail website and is loaded directly into a hidden DHTML element of the gadget using a basic Ajax mechanism every 60 seconds (same refresh rate as their site). The DOM is then parsed to pull out the relevant data into what you see displayed on the screen. As I essentially rely on screen-scraping, this means that the gadget should be regarded as "fragile" - if National Rail considerably change the structure and layout of the Live Departure Boards website, the gadget will probably break until I release a new version.
Screenshot: Settings page, where you can select Start and Destination stations.

Screenshot: Gadget selection window (drag multiple instances of Live Departure Boards onto your sidebar to watch multiple stations)

Now updated for v0.8: Download instructions: Clicking on this link should download and then prompt you to install the gadget. Any problems - get in touch using the contact form Link removed pending negotiations with National Rail.