I don't quite know how it started, but 3 years on I'm still doing it. Shortly after Salon.com changed their layout to the way it appears now, I became enamored by their clever and well designed front-page category images. Periodically I would stop and save images that I liked, ones that caught my eye, or any that appeared to have something interesting about them. After 3 years I've amassed quite a collection, over 750 of them. It's neither complete nor well organized, but it's still a fun archive to browse. I've posted a page (in roughly but not quite chronological order) of my collection.  
[cc: some dude/some chick, blogs & zines, the wired]
glitch p-udding: very cool! a 10, a comment and a bookmark!
site has nice collections of favicons