Favicons have become increasingly popular in the web development community. Professionalism seems to be this years trend and favicons are one way of helping your site visitors another way of remember your website.
Branding your website is not necessarily an SEO strategy. It falls out of the category because favicons do not play any role whatsoever in regards to determining your search engine result pages on Google, Bing or Yahoo.
Nevertheless search engine marketers can learn something by acknowledging that every bit counts; and even a small pixelated image can make a difference between a sale or no-sale. Here is a good video tutorial on how to get yourself a favicon.
Check out SitePoint’s favicon tutorial. I guarantee you can have yours up within an hour.