Generally it is considered good practice to serve favicon.ico in multiple sizes, because that way it looks better when a shortcut is made or the site is pinned (IE9). The size of a favicon easily increases tenfold by doing so though, which results in slower site loading (in my case the 16x16 favicon is 1kb, the 16, 32, 64=30kb).
Sites like Facebook and Yahoo serve a 16x16 favicon by default that is <1kb, but when you pin these sites, the image used is proper size. I assume the larger picture is loaded only when needed, which fixes the dilemma. I have unsuccessfully been trying to figure out how these sites do this. Does anybody know this?