When you create a web page bookmark on the iPhone it uses an image of the web page when it creates the icon. In most cases, this icons looks pretty crappy since your try to cram an entire page into a 50x50 pixel area.

It turns out that the iPhone actually uses the portion of the page you are looking at when you create the web bookmark. So if you want the icon to look nicer, zoom in on the web page to a portion you want to see in the icon that'll show up on your Home screen. I usually like to zoom in to just the logo of the site. Then save the site. You'll have a much better looking icon as a result.