twoeye.org: Why Your Site Needs a Favicon
Tony at twoeyes talks about the ways that favicons can improve the usability of tabs. It's a good point, and one that is more and more relevant as the different uses of tabs get less buggy. For instance favicons sometimes get used for the wrong sites in bookmark listing (probably because they're all named favicon.ico). In any case, it's a good point. I've wanted one for my site for a while, just haven't gotten around to putting it together.