As Tim stated previously, incorporating a favicon with your site can reinforce branding for your business. At T&S, we wanted to take it a step further by adding an animated favicon. I created ours in Photoshop, saved it as a .gif, and renamed it as favicon.ico. Here is a website that will guide you in the process:
http://www.virtualmarketingblog.com/index.php/20070827/animated-favicon/
Here you can find a list of example sites with animated favicons:
http://myvogonpoetry.com/wp/2005/10/10/animated-favicons/
