Widgets are a good way of getting a page to earn a buck whenever people click on them but with thousands of them around, throwing a couple of hundred on your sidebars will make for a very slow page. Widgets as designed are not supposed to take up too much processing speed out of a page but like all the elements of a page, too much of a good thing can be bad for your health, your page’s health that is.
Keep things clean and neat and you could do that with proper cycling of widgets should you need to place a lot of them on your page. Remember, a page that’s well thought of and laid out is better than a cluttered one.