I love "Agenda Widget" but there are others you can download. I think the only widget that comes with the calendar is the small one that displays only one day's events.

If you want that one, go to an empty screen (or half empty), press and select widget from the popup. Then choose "calendar".

If you don't want that one I believe you'll have to download one. There are a lot of good free ones.

 

If by chance you use launcherpro (and have the plus unlock key) the Calender widget in that is month view by default

 

I use an App Called "Jorte", strange name I know. But it comes with widgets ranging from 1x1, to 5x5. I use the 4x4 version that shows the full monthly calander. It syncs well with Google Calander.