Ah, this is tougher than I thought. I was hoping to be able to just use the remove_filter() funtion, but the world doesn't work that way.
Beware of hackiness below; proceed prepared to test and assess on your own...
Option 1: Allow shortcodes in widget title:
With Option 1, the possibilities really are endless, but dang, that's a lot of work to go through to just make some HTML tags. But, it's as secure as shortcodes.
//allow html in widget title
//convert square brackets to angle brackets
$title = str_replace('[', '<', $title);
$title = str_replace(']', '>', $title);
//strip tags other than the allowed set
$title = strip_tags($title, '<a><blink><br><span>');
With option 2, it's a bit less work, but can expose your widget titles to script injection if you are not careful about what tags you allow. I'm really paranoid about security, if you can't tell. I'm also wondering about compatibility with unicode characters in foreign languages (ie, the add_slashes vs msqli_real_escape_string issue).