With the help of google you can easily save favicons of your favorite sites. You can also use this link for your link lists so that they will display favicons of your sites next to your blogroll links.
Here is how to save a favicon:
Step 1. click here : http://www.google.com/s2/favicons?domain=www.google.com
Step 2. Change the domain at the end of URL. (eg. http://www.google.com/s2/favicons?domain=mail.google.com)
If you would like to use favicons for your blogroll / wordpress links you can use this URL as image url also. See the example below:
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