There's a hack for that.. I haven't put it in the core because it adds a lot of database overhead to your page, but here you go:
On line 206 in CalendarUI.class.php, there's an array that accepts all the data for a given day in the calendar. You'll see that "HasEvent" is one field. After that entry in the array, add:
'Events' => $this->calendar->Events(null, $this->date_counter->date(), $this->date_counter->date()),
And on LiveCalendarWidget.ss:
<td class="$Today $OutOfMonth $CurrentDay $HasEvent">
<a href="$ShowDayLink">$Number</a>
<% if Events %><% control Events %><a href="$Event.Link">$Event.Title</a><% end_control %><% end_if %>
</td>