I spent some time working on a Sidebar Gadget tonight and I ran into some issues once I was ready to gather live data. Cross-domain XMLHttpRequests are permitted in Sidebar gadget, which certainly adds much more value and possibilities.
I found my bug and smashed it whole-heartedly, but I thought it would be nice to share the code for the XHRTest gadget that I was using while debugging. The code is just about the least amount of code you need to request an RSS feed and have it return the first item's title. So I won't be uploading the gadget to the gallery, but hopefully it may come in handy for someone starting their own Sidebar gadget. Plus this way I don't feel like I completely wasted all of that time debugging over and over...
And if you are interested in creating your own Sidebar Gadget, read through Jan Kucera's Practices and Hints for Gadgets.