If you have an XM Radio Subscription, the XM Radio Windows Vista Sidebar gadget is for you.  Recently updated to version 1.5, features include a polished and easy to navigate channel list, favorites support, and advanced Amazon search so you can purchase the CD or the MP3 of the song you're listening to as well as browse lyrics, Wikipedia and YouTube entries for the artist.  From the folks at BuildaGadget.com (a work-for-hire outfit), this is one I'm going to pin permanently to my Sidebar.

Download: XM Radio Vista Gadget