Generally speaking, favicons are a great way to give links a small, yet unique visual represenation, making them easier identifiable.

In addition to the other use cases already mentioned here, imagine an e-mail client such as GMail that - in lack of a photo of the sender - at least shows the sender’s company logo (which in many cases is the domain’s Favicon). In such scenarios Favicon Kit can serve as a fallback for services like Gravatar.