In looking at the results here:
http://www.webpagetest.org/result/130525_V0_V3J/1/details/
the favicon has a delay then loads last. Why wouldn’t it download in parallel? I tried putting on a diff domain but to no avail.
The Chrome pre-loader attempts to prioritise the retrieval of content so the resource types that block rendering a retrieved first e.g. css, js, fonts, and then media - you can see this if you look at the connections view - http://www.webpagetest.org/result/130525_V0_V3J/1/details/
The favicon is the least important content ‘on the page’ as it doesn’t block rendering so Chrome doesn’t appear to give it any priority (would need to read the code to be exactly sure what priority, if any it gets)
Most browsers will lazily load the favicon some time after onload since it isn’t used on the page itself. Other than optimizing the size of the file, making sure it’s gzipped if it’s an actual ico and making sure it is cacheable there isn’t anything else to do for a favicon. Other than the path to the file you don’t really control them through markup either.