Yes, I do have one for my own website, but it isn't really something that is entirely necessary. Most users don't really pay attention to such things mainly because what matters the most is your content.
The only way the favicon will benefit would be for some applications on mobile devices or overall mobile reasons, but other than that there is no real major reason to have one except for looking professional. It depends on each individual how they feel about a favicon, though.
I do and I think it is important because most websites have one and it makes your website look more professional. If I go on a website that doesn't have one, I always think that the site may be a little dodgy.
Favicons are pretty cool, even though they're small, they still represent the site/forum they're displayed on. The one on the community I'm involved with, is a Star from the Mario series. 😛
Yes, I typically always use a favicon. I don't like the default tiny icon that displays in the browser. It's boring and unoriginal. Favicons are great too, especially when there are multiple tabs open in a browser and you can tell which tab is for which site based on that little icon.