Recipe for creating Windows ICO files with ImageMagick?

ImageMagick has a recipe for this in their documentation, see FavIcon Web Page Link Thumbnail

Essentially you run the following:

convert image.png  -bordercolor white -border 0 \
          \( -clone 0 -resize 16x16 \) \
          \( -clone 0 -resize 32x32 \) \
          \( -clone 0 -resize 48x48 \) \
          \( -clone 0 -resize 64x64 \) \
          -delete 0 -alpha off -colors 256 favicon.ico

You can modify this to include larger resolutions as necessary and to change things like border, transparency settings etc.