Here's an MSDN article on Vista Gadgets. Some preliminary documentation on 7 gadgets, and changes. I think the only major changes are that Gadgets don't reside in the Sidebar anymore, and as such "dock/undock events" are now backwards-compatibility cludges that really shouldn't be used.
Best way to get started is probably to just tweak an existing gadget. There's an example gadget in the above link, or you could pick a different one out on your own.
Gadgets are written in HTML, CSS, and some IE scripting language (generally Javascript, but I believe VBScript also works). For really fancy things you might need to create an ActiveX object, so C#/C++ for COM could be useful to know.
Gadgets are packaged as ".gadget" files, which are just renamed Zip archives that contain a gadget manifest (gadget.xml) in their top level.