Well a widget may (depending on the widget and the settings) poll for info. For example, you might have a forecast widget set up to poll for weather/temperature updates every hour. That's going to take more battery than just not having it on there at all (and only polling for weather updates if you actually open the app). And of course some widgets are going to cost you more than others.
That being said....I use a lot of widgets. My entire homescreen is nothing but several UCCW widgets....email and SMS counts, Facebook badges, next appointment, etc. I have noticed my battery lasts a bit less than it used to, but it's not significant enough that I'm concerned about it (maybe my battery lasts 16.5 hours instead of 17 or something, but I don't have exact figures)