What is a favicon ? A Favicon is the small image you see beside the address bar in your browser and depending on the browser you use it is also visible in the tab menu. You can get more info on Wiki.
The fav icon can give your blog its own identity and look more pro. Today, its easy to change your favicon because Blogger made it part of the options on your blogs design page. You can add a custom favicon to your blog for just few clicks or try monitoring apps. See this article from bloggerindraft.