WordPress does not have build in functionality for exporting or importing widgets. This can be a pain if you want to transfer widgets from one location (e.g. a test website) to another location (e.g. a live website).
When you deactivate a WordPress theme and activate another WordPress theme, widget settings can sometimes be lost too. I experienced this myself when I changed my blog design the other month. As a result of this, I had to configure some widgets again.
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