Magento just announced their widget system. Very nice, appears to solve three major pain points (with regards to missing or hard to use functions) in the CMS:

1. Using Magento functionality inside CMS pages;
2. Using other content blocks inside CMS pages;
3. Linking to other pages within the shop.

Check it out at their blog, I look forward to toying around with it

You may also have a look at this screencast about the Magento Widget system

Besides that, there have also been created some tutorials: learn to create a Magento widget.