I have been one of those people who just couldn't figure out why the widgets would not open (the drop box would not come down). I have been searching the internet on and off for months trying to figure out why I could only get the widgets to open while on my desktop PC, and not my laptop from WordPress 2.8 to 3.0. After disabling all the plug-ins, cleaning the cache, updating flash and java, enabling scripts, trying updates to Internet Explorer and Firefox, I finally figured out the problem: The problem was my firewall. I had to "whitelist" my site within the firewall (antivirus program) in order to get the widgets to open properly. Once you exclude your web site from your firewall, the widgets may work correctly. I am using Computer Associates Security Suite, but I assume that the problem may occur with other AV programs as well. I hope this helps someone.
Admin, feel free to add appropriate tags and optimize for SEO, so that others like me won't have to search for months like I did.