NOTE: From WordPress 4.3 onwards, it is recommended that you use the Site Icon feature that is built into WordPress, instead of following the guidance below. The Site Icon feature can be found by going to Appearance -> Customize and clicking on Site Identity.
In my earlier post Understanding favicon I explained what is a favicon, how to create and add it to your site. To add the favicon you have to create an icon and upload it to your server and then add some code to your site. However, if you have only WordPress site and you use Jetpack plugin, then you can easily add the favicon to your site using the new Site Icon module introduced in Jetpack 3.2