There are plenty of resources to do this including plugins for WordPress and custom code. I wanted to share the way I did it as its easy and only 8 steps to follow!
1). Log in to your Twitter account
2). Click on Settings
3). Click on Widgets
4). Create New and configure the options
5). Copy the code
6). In WordPress, click on Appearance, Widgets and drag the Text widget to the sidebar
7). Enter a suitable title such as “Recent Tweets”
8). Paste the copied HTML code in to the next field and Save
Go to your site and you should see your Twitter feed.