I can add the Agile Gadget to SharePoint using a Page Viewer Web part with the gadget URL. Here's the URL I am using:

http://jirawin/plugins/servlet/gadgets/ifr?container=atlassian&mid=16973&country=US&lang=en&view=default&view-params=%7B%22writable%22%3A%22true%22%7D&up_isConfigured=true&up_refresh=false&up_selectedProjectId=project-10090&up_selectedBoardId=11191&up_contextName=Default&up_chartType=gh.chart.cfburndown&up_forMaster=false&up_showLabels=false&up_showLegend=true&url=http%3A%2F%2Fjirawin%2Frest%2Fgadgets%2F1.0%2Fg%2Fcom.pyxis.greenhopper.jira%3Agreenhopper-gadget-project-dashboard%2Fgadgets%2Fgreenhopper-project-dashboard.xml&libs=auth-refresh

This displays fine when using IE 8. However, in Mozilla Firefox 3.6.6, the gadget does not display and the follow error is displayed in the Error Console:

Error: "Permission denied for <http://jirawin> [our JIRA site] to get property Window.AG from <http://eng> [our SharePoint site].
Source File: http://jirawin/s/522/9/4.1/_/download/batch/com.atlassian.jira.gadgets:common/com.atlassian.jira.gadgets:common.js
Line: 3