I have seen this more and more since my first sighting:
Now these do not seem to appear on normal search results at the moment, only upon selecting to view additional sponsored results (another new and also slightly weird Yahoo feature):
And this is where the logos appear. I am not sure why – possibly being tested before full roll out. Also, why the ‘see only sponsored links’ feature? I think the logos do look good now, and it does differentiate the real brands and also is different to Google’s layout. The logos are definitely pulled automatically, i.e. requiring no set-up on the advertiser-side. Certainly, some logos look better than others, based on the vividness of colour and if they stand out from the Yahoo sponsored links background. They are not clickable, but sit next to the display URL. Google tested these ‘favicons’ a few years ago too – reported here. I imagine that Google did not roll out as it clutters the search environment and looks a bit gimmicky – something they are always striving against.