It’s common knowledge that favicon.ico will let you change the icon that most browsers use for the bookmarks, tabs, etc.

For Apple devices, you want to read this:

http://developer.apple.com/library/safari/#documentation/appleapplications/reference/safariwebcontent/configuringwebapplications/configuringwebapplications.html

To summarize:

apple-touch-icon.png for iPhones before 4.0, and they should be 57×57 pixels.

apple-touch-icon-72×72.png for iPads

apple-touch-icon-114×114.png for iPhone4