Teensy icons for bookmarks?

Some web sites (e.g. Livejournal) have little icons that get added to the bookmark for the site (in Livejournal's case a little pencil). How easy is it to do that? Does it need complex code, or is it dead simple? And is there any reason not to do it?

Later: Thanks to everyone who commented - I'll give this a try.

Teeny icons revisited

Well, partial success with this - the favicon thing works on forgottenfutures.com but not forgottenfutures.co.uk, under this name or the ntlworld name, apparently because NTL use some sort of frame to give access to pages. Not sure that anything can be done about that. Doesn't really matter much, since it was more of a whim than something that really needed doing.