To expand on cevik's answer:
You cannot create WPF applications as gadgets BUT you have two options (which aren't as bad as you'd expect).
The reason is that widgets are composed mainly of web pages (HTML) and not executable (*.exe).
The problem of course is that WPF will only work with & produce executables.
First option - Windows API:
When I said you can't what I really meant is you can't use the Windows Vista/7 gadget platform to make your widgets.
However, you can always achieve a similar effect by using the Windows API.
The Windows API will let you do stuff to windows such as making them always on the background of other programs, which sounds to me like ~80% there (The rest would be stuff like making sure your window doesn't get re-sized or minimized, etc.).
Just as a note, the function you'd be looking for to make the window behind all other windows would be SetWindowPos
(specifically the second parameter).
However make sure there isn't a library which already implements these stuff because it can be rather difficult (and consist of A LOT of surprises).
Second option - Silverlight
silverlight can be perceived as WPF for the web.
That obviously solves our problem.
However there is a cost to it, as expected.
Silverlight doesn't have all the features WPF has (possibly not all of the .NET framework as-well, not sure about that as I'm not really using it).
However it should be more than enough to get you by so you should definitely check it out.
Once you have your Silverlight application (and webpage) you'll have to create a manifest & install the gadget to your desktop. See here how to do so.