15 Mar 2011
28 Mar 2011
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From my understanding, a widget is a bit more than a user control (except it can benefit from the Telerik libraries), while a Module is a full functionality including, for instance, a form to add items to a list, and a backend to see the items list and add/edit/delete.
Several examples are delivered with the SP1 SDK, and you have some tutorials on the website too (on the "Documentation" section).