Telegraphics - Free ICO Format Plugin for Photoshop
After a little stumbling around looking for a way to create my favicon.ico (favicon.com has withdrawn the nice service they had there for a while), I came across Telegraphics and this file format plugin. It was reportedly tested for Photoshop 4, but I just dropped it into my Plug-Ins\File Formats folder for Photoshop 7 and it worked just great - just Save As: .ico
When I get back in the office I'll take a closer look at what it actually output in IconFactory, but so far so good in Firefox and windows IE 6.