When testing links in isolation the secondary requests to favicon.ico can be safely ignored since they're not generated when linked.
This page should only generate a request to favicon.ico on http://wal.sh/ not any of the linked assets:
67.136.221.74 - - [18/Apr/2013:11:55:15 -0700] "GET /empty.js HTTP/1.1" 304 164 "http://wal.sh/poc/favicon-links/" "Mozilla/5.0 (Macintosh; Intel Mac OS X 10_7_5) AppleWebKit/537.31 (KHTML, like Gecko) Chrome/26.0.1410.65 Safari/537.31" 67.136.221.74 - - [18/Apr/2013:11:55:15 -0700] "GET /favicon.ico HTTP/1.1" 404 495 "-" "Mozilla/5.0 (Macintosh; Intel Mac OS X 10_7_5) AppleWebKit/537.31 (KHTML, like Gecko) Chrome/26.0.1410.65 Safari/537.31"