Drag favicon from a browser to the desktop or into Finder.
This creates a
.webloc file, which will open in the default browser when opened.
In some sites you may have to drag the lock icon, info icon... or whatever is on the immediate left from the site url in the address bar. You may also try selecting the url and dragging that, but that doesn't work in Chrome at least, I believe.
Works in Safari, Chrome and Firefox