The favicon.ico is an image that stays in the root of your server. It's a necessary evil because even if you don't care about it the browser will still request it, so it's better not to respond with a 404 Not Found
. Also since it's on the same server, cookies are sent every time it's requested. This image also interferes with the download sequence, for example in IE when you request extra components in the onload, the favicon will be downloaded before these extra components.
So to mitigate the drawbacks of having a favicon.ico make sure:
Imagemagick can help you create small favicons