The so-called favicons, little pictures which appear next to a URL, were invented as a bit of frivolity by Microsoft: see the relevant HTML FAQ page. Perhaps ironically, they become useful in other browsers with a tabbed interface, such as Opera.
One particular way I have found them useful is identifying the different document trees I have. I actually have four for my site:
By putting a separate favicon in each tree, it makes it easy for me to remember which tree I'm in at any given moment. See the example below.