Lion by default opens the Dashboard as its own space, which means you can't see the desktop 'through' it like you could in 10.6. You can return the Dashboard to its former transparent splendor by telling Mission Control to not open the Dashboard as a space.
To return the Dashboard to its pre-Lion behavior:
- Open System Preferences.
- Click the Mission Control panel.
- Un-select the 'Show dashboard as a space' check box.
- Close the System Preferences.
Not only will the Dashboard return to displaying as an overlay above the desk, but as a bonus, you will have back the cool 'ripple' effect when adding new widgets.