From my limited experience with Windows Sidebar (that is, a public Beta and two Release Candidates, plus 2 weeks using the final version now)...
Yahoo Widgets >>>> Windows Sidebar, mostly because Yahoo Widgets (originally Konfabulator) has been around for a long time and thus has a head start.
Windows Sidebar may catch up eventually, but for now, Yahoo Widgets has more variety, more customization options and better designed Widgets.
Windows Sidebar does seem to be lighter on resources though, and its better Vista integration is the reason I use it.