Alex Marandon has written a comprehensive guide about How to build a web widget (using jQuery). It covers only techniques which are specific to web widgets so you should already be familiar with JavaScript, jQuery and web development if you want to follow easily.

The interesting points will be: ensure the widget’s code doesn’t accidentally mess up with the rest of the page, dynamically load external CSS and JavaScript files, bypass browsers’ single-origin policy using JSONP.

Source: http://alexmarandon.com/articles/web_widget_jquery/