jQuery core library is in Yii, but not jQuery UI. Again, refer to CTreeView and see how to include a js library.
I think it should be helpful to have the jQuery UI included in Yii, so we can avoid possible conflicts in the case several extensions use that library. If the developers know that jQuery is included in Yii, they would use this instead of including it on their extensions.
MetaYii: We won't include jQuery UI in the core in 1.0. We still need more time to fully evaluate it.
Konstantin: you can place widgets anywhere, as long as you can refer to it when using it. My personal preference is to put it under protected/components. The directory protected/extensions is used to store extensions you download from third party.