The main core of the program is uninstalled- application files, DLLs, &c.
Any files that are created after install are not removed (in the event that you re-install the program, all your cached files, settings, logs, etc) are still present.
There's nothing in the registry, but there are probably still files in c:\program files\digsby (or wherever you installed to), as well as in your user folder. All of these files are safe to delete after you've uninstalled digsby.
User folder location on WinXP/2000:
c:\Documents and Settings\(your username)
Once you've found your user folder, you'll need to find the digsby folder in the app data and local settings folders. From your user folder (as above), these are at:
Local Settings\Application Data\Digsby
(actually I'm not confident about these paths on Vista, since i'm not a vista user)