One of the truly great things that has happened in the world of web is the proliferation of widgets. Yup, those neat little thingy-doos that you can sprinkle all over your page the automatically suck in content from other sites. We all use 'em. They're great -
Still - you really need to think carefully about how dependent you want to make your web site be on other providers. It's often hard enough keeping your own web site up and tuned to perform reasonably - but what can you do when your page loading depends on external sites, and they're incredibly slow, or not running. This happens all the time. I deal with an advertising provider that is - less than stellar in the reliability department. And every time their web widget servers go down, I'm in for one of my sites being constantly hung while waiting for the ads to not appear. Same thing can happen with various service widgets, like those "Digg IT" links, and Technorati links - if they're loading off of an outside server, they're going to slow down your web performance.
Now I'm not saying that the answer here is to host everything yourself - it's just not practical. But on the other hand, I see plenty of sites that use so much outside content that it's a wonder that they work at all.
As with everything else - it's a judgment call. Just think over what you're doing, and if it's worth the grief. Use tools like whyslow to determine just how bad things are.
And for a great real-life writeup on such a problem - look here .