I often run mvim from iTerm, and it pops up on the Dock with the default vim icon. A friend gave me a nice icon for mvim, how do I go about updating the icon for mvim launched from a console?
There's two main ways of changing the icon for an application.
The first (and free) way is to navigate to the application itself (most likely in your /Applications folder). Right-click the app (MacVim.app), and select "Get Info". Then, drag the new icon onto existing icon displayed in the Get Info pane. In this Adium example, you'd drag the new icon over the Adium duck icon. A password pane will most likely pop up - enter your password and you should be all set.
The other way is to buy CandyBar for $30. CandyBar is a much easier to way to manage large scale icon changes, plus provides an interfaces for organized vast icon libraries. But if you are just looking to change one icon, it is probably overkill.
LiteIcon is a free alternative to Candybar. I've used it quite a bit and I really like it.