You must be using the default theme that uses the dotted square, use any half decent theme and it is likely to have a neater/nicer icon for it. I lost lots of my favicons, but it doesn’t look so bad replaced by a nice little heart.

There it a tool to recover bookmark favicons, but for the life of me I can’t remember it.

So a little search returns this for IE, http://www.simplehelp.net/2009/06/12/how-to-restore-all-your-ie-bookmark-favicons-at-once/ there is also a faviconize tab firefox addon. I’m in the process of getting them now.