There are plenty of volume widgets that will show you the volume and take you to the volume settings when you tap them. But, very few actually let you adjust the volume using the widget itself.
This volume control widget shows the volume and actually lets you adjust it. Simple, easy to use, no need to enter the settings. It's exactly what you're looking for when you search the market for a volume widget.
If you like this widget, check out the donation version!
NOTE: On Android 3.0 and higher, the widget may not show up in the widget menu immediately after install. Restarting your launcher or rebooting your device should fix it. This is a known Android problem, and there is nothing I can do about it.