From the Dashboard Navigator located to the left of the Dashboard page, select Appearance\Widgets.

Widgets are independent sections of content that can be placed into any widgetized area provided by your theme. Although these widgetized areas are commonly called ‘Sidebars’ and are quite often located in the left or right-hand column, they can be also located anywhere within your site and are entirely dependent on the current theme as to their location. Lots of themes use these widgetized sidebars in the footer area.

There are numerous widgets available by default which allow you to add extra content to your site, such as Recent Comments, Categories or Custom Menus, just to name a few. New Widgets can also be installed via plugins and again, depending what the plugin is used for the extra functionality it brings to your site will vary.