Bloggers put almost anything in thier sidebars: photos, news items, weather details...the possibilities are endless! For the most part it's a "copy and paste" procedure, and content providers will give you helpful information on how to insert their code.
You might want to remember that certain items will stretch the width of the sidebar and will cause it to drop below the main portion of the blog. There's really no easy way to prevent this if you are using changing content, such as another site's feed. The sidebar can also drop if you post something to wide in the main section...most likely that's an image width issue, so just be careful!