With so many browsers to think about, one need to adjust a site so it looks almost same (identical would be miracle) in all of the major modern browsers. And favicons are not an exception.
Just read this amazing article on Nettuts+, about SCRUM. For a time I have been writing something similar, and when I was it on Nettuts+, just thought why not just post a link, as this one is much better than mine will ever be!