This post is proving useful.  It didn't solve my root annoyance, but it did help.  Here's what I wanted to beat...

I like using Toolbars as quick menus on the task bar.  You can set them up like this:
Taskbar - Unlocked 
But when you turn on "Lock the Taskbar" things get repositioned and it looks like this:
Taskbar - Locked

From what I understand, the configuration of the taskbar toolbars is stored in binary in the registry.  I haven't yet found a way to manipulate it to get rid of the little gaps created in this scenario.

So, I am leaving "Lock the Taskbar" turned off, but I'm using the TaskbarNoDragToolbar registry setting to prevent the toolbars from actually being moved.

Follow-up… Someone commented with an even better solution below.  Click here to scroll to the comment.