Yes they help. They give your site a sense of legitimacy. If you have a site that you plan on keeping for a long while, I'd definitely suggest using it. Besides, you can make one and add it in like 20 mins or less.First off sorry if this is not the right section.
I just want to ask if you think favicons help any. I mean are they just a bunch of eye candy or do they really help to get people to remember your site.
One less 404 on your page if you have a working ico
Besides the great reasons already mentioned, I have a theory that a favicon gives your site a small SEO boost.
<link rel="shortcut icon" href="http://www.wickedfire.com/images/favicon.ico" />
Make an animated 16x16 gif^^^
How can one make an animated favicon ?