Cache the output of your blog widgets. Usually it will significantly reduce the SQL queries to your database and speed up your site.
There're some widgets that should not be cached!!
Some widgets are dynamic, that means they show different content in different conditions, for example, for different pages, for login / unlogin users.
If you use such dynamic widgets, don't worry, just left the cache expire time(see the screenshots) field empty or 0, which will prevent the WP Widget Cache to do anything.
Here's a list of such widgets to be finished, if you know something new, just visit here, and leave a comment.