ConvertICO is a free web-based image to ICO converter. It is fast, user-friendly and useful to convert your images to Desktop Icons, App Icons as well as the much needed favicons for websites. You can either upload your files or paste an URL. Go on and give it a try, you will be satisfied.
The only restrictions you will find are the sum of the source files (50 files total), and file size limit (2MB per file).