Using Favicons on your website is extremely easy and adds another level of self-promotion. You can implement it for free - so why not? Many modern email clients such as AOL Explorer, Epiphany, Firefox, iCab, Internet Explorer, Konqueror, Mozilla, Opera, and Safari will implement and display a favicon without any extra work - just drop the favicon.ico file into your websites root html folder and see what happens. Don't forget to reload your page fully, and maybe, if needed, empty your browsers cache (might be needed to see the favicon straight away).
MpP Favicon Gallery has a collection of favicons form the World Wide Web which discusses the favicons use from a design perspective. MpP Favicon Gallery is a huge collection of favicons and is useful if you are doing favicon research, or are looking for ideas to create your own favicon.