So, I have a sidebar that I'm going to list all posts in, I could just use a widget. But is it proper to use a new loop instead of a widget, or preferential?
You should always use widgets when you need to add any kind of content to the sidebar. The reason is very practical - once the project is over the owner of the site will not need to contact you just because he wants to put a banner before your "loop", and even during development it easier to just move a widget then edit your code when needed.
Widget are also reusable in all the sidebars of the site, and if you pack them as a plugin, or in separate file, it is easy to reuse them in other projects.
Many advantages for just a little amount of extra work.