The Old Version is not working for me, so I have written a new solution based on it. It requires Ruby instead of Python, and consists of 3 files, whose contents are below. You also need to insert this line in uzbl's config file:

@on_event LOAD_COMMIT  spawn @scripts_dir/favicon.rb

Put in @scripts_dir (probably ~/.local/share/uzbl/scripts/ on Linux).

#!/usr/bin/env ruby

File.open(ARGV[3], 'w') do |fifo|
  fifo.puts 'set icon = @(wget-cache.rb @<+@scripts_dir/favicon-url.js>@ @uri $XDG_CACHE_HOME/uzbl/favicon/)@'
end

Put in @scripts_dir.

(function() {
  var icon = 'favicon.ico';
  
  [].slice.call(document.getElementsByTagName('link')).some(function(link) {
    return link.attributes.getNamedItem('rel').nodeValue.match(/(^|\s)icon($|\s)/i) &&
           (icon = link.attributes.getNamedItem('href').nodeValue);
  });

  return icon;
})();

Put in $PATH.

#!/usr/bin/env ruby

# Download and cache the file at the given URL, and output the local path of the file.
# Arguments: URL, base URL for resolving a relative URL, cache root path
# (Note: wget provides all the needed functionality, except the local path needs to be grepped
# from its output. If another program or some configuration of wget can output the path directly,
# this script can be replaced.)

require 'open3'

exit unless ARGV.length == 3

uri, base, cache = ARGV[0..2]

Open3.popen3 'wget',
             '--timestamping',
             '--force-directories',
             '--protocol-directories',
             "--base=#{base}",
             "--directory-prefix=#{cache}",
             '--input-file=-' do |stdin, stdout, stderr|
  stdin.puts uri
  stdin.close
  puts stderr.read[/(?:Saving to:|Server file no newer than local file) `([^']+)'/, 1]
end

Get the code: http://gist.github.com/149026

#!/usr/bin/env python

# USAGE
# load_finish_handler should be set to something like:
# spawn $XDG_DATA_HOME/uzbl/scripts/favicon.py
#
# And remember to: mkdir -p $XDG_CACHE_HOME/uzbl/favicon

# BUGS
# The only case not handled satisfactorily is where the icon is unset in the
# config, and the site has no favicon. This means sites with no favicon will
# show the previous site's favicon.

import os, re, socket, sys, urllib2, urlparse

def urid(cache, uri):
    '''cache='/root', uri='http://holizz.com/favicon.ico'
    => /root/http/holizz.com/favicon.ico'''
    u=urlparse.urlsplit(uri)
    p=u.path.split('/')[1:]
    return os.path.join(cache, u.scheme, u.netloc, *p)

def socksend(sock, input):
    s = socket.socket(socket.AF_UNIX, socket.SOCK_STREAM)
    s.connect(sock)
    s.send(input)
    output = ''
    while '\n' not in output:
        output += s.recv(1024)
    s.close()
    return output

def defaulticon(config):
    icon = None
    with open(config, 'r') as c:
        for line in c.read().split('\n'):
            m = re.match(r'^\s*set\s+icon\s*=\s*(.*?)\s*$', line)
            if m:
                icon = m.group(1)
    return icon

if __name__ == '__main__':
    config = sys.argv[1]
    fifo = sys.argv[4]
    sock = sys.argv[5]
    uri = sys.argv[6]

    if 'XDG_CACHE_HOME' in os.environ.keys() and os.environ['XDG_CACHE_HOME']:
        cache_d = os.path.join(os.environ['XDG_CACHE_HOME'],'uzbl/favicon/')
    else:
        cache_d = os.path.join(os.environ['HOME'],'.cache/uzbl/favicon/')

    if not os.path.isdir(cache_d):
        os.makedirs(cache_d)

    # Check for <link rel=icon>
    data = socksend(sock, '''js var m=document.getElementsByTagName('link');for (var n=0;n<m.length;n++){var a=m[n].attributes;if(a.getNamedItem('rel').nodeValue.match(/(^|\s)icon($|\s)/i)){a.getNamedItem('href').nodeValue;break;}}\n''').strip()

    favicon_u = None
    if data:
        favicon_u = urlparse.urljoin(uri, data)

    # Check for /favicon.ico
    if not favicon_u:
        favicon_u = urlparse.urljoin(uri, '/favicon.ico')

    if favicon_u == 'file:///favicon.ico' or favicon_u == '/favicon.ico':
        favicon_f = None
    else:
        favicon_f = urid(cache_d, favicon_u)
        # Download file if it doesn't exist
        if not os.path.isfile(favicon_f):
            favicon_d = os.path.join(*os.path.split(favicon_f)[:-1])
            try:
                input = urllib2.urlopen(favicon_u)
                if not os.path.isdir(favicon_d):
                    os.makedirs(favicon_d)
                with open(favicon_f, 'w') as output:
                    output.write(input.read())
            except urllib2.HTTPError:
                pass

        if not os.path.isfile(favicon_f):
            favicon_f = None

    # Reset icon if site has no favicon
    from_config = False
    if not favicon_f:
        favicon_f = defaulticon(config)
        from_config = True

    # Render the icon
    if (from_config and favicon_f!=None) or (favicon_f and os.path.isfile(favicon_f)):
        open(fifo,'a').write('set icon = %s\n' % favicon_f)

Add “spawn $XDG_CONFIG_HOME/uzbl/scripts/favicon.py” (or whatever) to your load_finish_handler. And mkdir -p $XDG_CACHE_HOME/uzbl/favicon .

The only case not handled satisfactorily is where the icon is unset in the config, and the site has no favicon. This can only be fixed in the source, as variables cannot be assigned a null value (although they can start with one).