The UI of Dashboard widgets would suggest that you have to first click the plus sign in the lower left corner to reveal the Dashboard bar, which in turn will reveal any open widget's close button. However, the quicker way is to simply hold the Option key, and whatever widget you point at will show its close button.
[robg adds: I stumbled across this one myself, when looking for a better way to close a widget. As of the last developer release, it's behavior wasn't yet documented -- I'm not sure if that's changed in the shipping version or not.]
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