How can I create launchers on my desktop?

Note: gnome-desktop-item-edit was removed from gnome-panel in 19.10 (see gnome-desktop-item-edit: command not found on Ubuntu 19.10 and later even with the 'gnome-panel' package installed). So, this answer is unlikely to work for 19.10 and later.

The old GUI dialog is still available if you still want to use this:

Using ALT+F2 type

gnome-desktop-item-edit --create-new ~/Desktop

This will launch the old GUI Dialog and create a launcher on your Desktop:

Prerequisites

gnome-desktop-item-edit is installed automatically if you have installed gnome-shell/gnome-fallback. It is also installed automatically if you have previously installed gnome-tweak-tool.

Alternatively, you can install the old gnome-panel without much of the bulk:

sudo apt-get install --no-install-recommends gnome-panel

You can later move the MyLauncher.Desktop file from ~/Desktop to ~/.local/share/applications/ to make it appear in all applications dashboards, or to /usr/local/share/applications to make it available to all users (Thanks to @JonBently's comment).

You can do it manually. Make a new text-file named something.desktop and write this in there:

#!/usr/bin/env xdg-open

[Desktop Entry]
Version=1.0
Type=Application
Terminal=false
Exec=command to run here
Name=visible name here
Comment=comment here
Icon=icon path here

Don't forget to make the file executable (chmod +x something.desktop)

OR click right mouse button on that label and select 'Allow launching' (Tested in Ubuntu 19.04).

There is cooler way:

Arronax

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Original picture taken from iloveubuntu.net which currently inaccessible

To install, type open a terminal with Ctrl+Alt+T and write:

sudo add-apt-repository ppa:diesch/testing 
sudo apt-get update
sudo apt-get install arronax
nautilus -q

This is cooler because it has drag&drop and more functions with a GUI.

More about Arronax on ubuntugeek.com.