There is a very old thread on this topic; thought I'd update it and see if there is anything more up to date. The question is the same: is there a Win7 weather gadged that will display for multiple cities?
I don't know, you might open Desktop Gadget Gallery from your Start menu and try a search. Personally, when faced with the same issue I solved it by simply running 3 copies of the same gadget (the standard weather gadget that comes with Windows 7) and setting each copy to a different location.
This one can display multiple cities. You have to click the arrow to switch cities, and it is too smmall for me :)
Gadgets For Vista - Document Details | Weather show
A Guy
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