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You see those surveys supposedly showing that many novice internet surfers assume search engine results are paid for just like yellow pages ads... perhaps some webmasters think favicons are some kind of "special dispensation" IE/MS gives you in exchange for $$$, or just because you are a "big fish"?
A side benefit is that you can track when most people bookmark your site. Apparently this is not always reliable either, but is more so if you include the favicon.ico file in each directory instead of just directing to one in the root.
If you've been using rel="shortcut icon" on any pages, go backtrack through your server logs. You might find some requests from Mozilla that you didn't notice before.
Carefully, and with a lot of fiddling around like, "Hmm, should the second pixel from the left in the thrid down from the top row be light blue, white, or yellow?" So you change it back and forth between the three colors, zooming in and out of the view in your icon editor about 100 times before you make up your mind.
At least that's how I do it...
I don't know how often people drag a Favorite to somewhere on their desktop, but having a large and small version of the favicon is the most professional appearing thing you can do, just in case.
Wish it had more staying power.