Widget which displays thumbnails, but links to urls?

You could create your own widget that queries posts from a certain category then displays the_post_thumbnail in an unordered list linking to the post.

Example widget (add to functions.php):

<?php

class c3m_thumbnail_posts extends WP_Widget {

function c3m_thumbnail_posts() {
$widget_ops = array( 'classname' => 'thumbnail-posts', 'description' => 'Displays post thumbnails' );
$control_ops = array( 'id_base' => 'c3m-post-thumbnail' );
$this->WP_Widget( 'c3m-post-thumbnail', 'Post Thumbnail Widget', $widget_ops, $control_ops );
}
function widget( $instance ) {
echo $before_widget;
?>
<h2>Title Goes Here</h2>
<?php
    $args = array(
        'cat'       => 16, //Replace with category ID of posts to show thumbnail for
        'posts_per_page' =>  6  //Replace with number of posts to show use -1 for all
    );
    $thumbnail_query = new WP_Query( $args ); ?>

            <ul class="sidebar-thumbnails">
<?php
    while ( $thumbnail_query->have_posts() ) : $thumbnail_query->the_post();  ?>

                <li><a href="https://wordpress.stackexchange.com/questions/24506/<?php the_permalink(); ?>"><?php the_post_thumbnail(); ?></a></li>
            <?php endwhile; ?>
            </ul>

<?php
    echo $after_widget;

    }
}

To modify what posts are used see WP_Query class in the codex.