Using the Clock as an example
1. Detach it from Sidebar
2. Set it to "Always on Top"
3. Attach back to Sidebar
4. Exit Sidebar
5. Load Sidebar
The Clock now remains "Always on Top" until you click on the Sidebar transparent background.
If you want some real quirky behavour:
1. Remove all Gadget from Sidebar
2. Add Clock and my Media Player
3. Detach them both from Sidebar
4. Expand Media Player so you can see the playlist
5. Set Media Player to "Always on Top" and Attach to Sidebar
6. Set Clock to "Always on Top" and Attach Sidebar
7. Exit Sidebar
8. Reload Sidebar
Now the clock body will appear behind Sidebar, and the transparent clock surround will appear above all windows!