What symbol can be used in front of a URL ?

There is the \Mundus command from the marvosym package. It inserts a world globe.

EDIT: Better example!

\documentclass{article}

\usepackage{marvosym}
\usepackage{url}

\begin{document}

\Mundus~\url{http://tex.stackexchange.com}

\end{document}

EDIT: A screenshot! =P

I think it suits the occasion. =)

UPDATE: Here's an update based on Martin Scharrer's idea. I got this globe from The Noun Project and converted to a PDF file named globe.pdf (also available here). Then:

\documentclass{article}

\usepackage{marvosym}
\usepackage{graphicx}
\usepackage{url}

\newcommand*\myglobe{%
% as suggested by Martin ;-)
\includegraphics[height=1.6ex]{globe.pdf}}

\begin{document}

\Mundus~\url{http://tex.stackexchange.com}

\myglobe~\url{http://tex.stackexchange.com}

\end{document}

The new output:

I use the external link icon from fontawesome.

There is a LaTeX package for LuaTeX/XeTeX to use fontawesome and an non-official version for PDFTeX. An example of its usage can be found in the PDF version of the new German FAQ:

I like it because IMO it's not obtrusive, compared to the "world" icons.

Here is my try at bringing more readable globe to LaTeX. It is quite inaccurate, but IMO it's acceptable for non utterly dead serious publications. :)

\documentclass[12pt]{article}
\usepackage[a5paper,landscape,margin=1mm]{geometry}
\usepackage[utf8]{inputenc}
\usepackage[T1]{fontenc}
\usepackage{lmodern,setspace,url}
\usepackage{tikz}
\pagestyle{empty}
\parindent=0pt
\doublespacing
\newcommand\globe{%
\hspace{0.25em}%
\tikz
%% Work based on the:
%% Globe icon from Brightmix iconset
%% by Brightmix licensed under WTFPL
%% http://www.iconfinder.com/browse/iconset/brightmix/
%% http://cdn1.iconfinder.com/data/icons/brightmix/128/monotone_earth_world_transparent.png
%%
%% Traced and simplified in Inkscape, exported using inkscape2tikz.
%% Simplification and adjustment in Vim by Przemoc.
\path [y=0.009ex,x=0.009ex,yscale=-1,inner sep=0pt,outer sep=0pt,fill]
    (90,90) circle (90)%
    (99,167) .. controls (128,164) and (155,142) ..
    (164,114) .. controls (166,107) and (170,96) ..
    (166,90) .. controls (160,91) and (159,109) ..
    (156,97) .. controls (155,87) and (142,82) ..
    (133,81) .. controls (131,89) and (146,83) ..
    (141,91) .. controls (136,97) and (125,103) ..
    (123,91) .. controls (123,87) and (115,80) ..
    (120,88) .. controls (121,94) and (124,107) ..
    (132,101) .. controls (137,110) and (120,115) ..
    (123,125) .. controls (119,133) and (112,141) ..
    (104,145) .. controls (92,148) and (91,132) ..
    (91,124) .. controls (91,115) and (87,106) ..
    (78,110) .. controls (72,112) and (67,111) ..
    (64,106) .. controls (60,103) and (58,99) ..
    (59,93) .. controls (58,83) and (67,77) ..
    (71,70) .. controls (63,68) and (69,57) ..
    (75,60) .. controls (70,51) and (83,49) ..
    (88,44) .. controls (95,46) and (108,42) ..
    (101,34) .. controls (97,26) and (100,47) ..
    (92,41) .. controls (88,39) and (80,37) ..
    (87,32) .. controls (93,26) and (103,29) ..
    (111,29) .. controls (118,28) and (132,30) ..
    (134,27) .. controls (127,19) and (116,16) ..
    (105,13) .. controls (91,10) and (76,11) ..
    (62,17) .. controls (55,20) and (43,22) ..
    (44,31) .. controls (47,38) and (37,50) ..
    (33,49) .. controls (32,43) and (28,38) ..
    (25,46) .. controls (18,54) and (31,66) ..
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    (12,101) .. controls (14,112) and (26,115) ..
    (30,125) .. controls (37,130) and (47,134) ..
    (39,143) .. controls (32,149) and (47,154) ..
    (51,158) .. controls (65,165) and (83,170) ..
    (99,167) --
    cycle
    (124,138) .. controls (119,132) and (136,122) ..
    (129,133) .. controls (128,134) and (128,139) ..
    (124,138) --
    cycle
    (73,42) .. controls (63,39) and (81,27) ..
    (80,39) .. controls (80,41) and (75,44) ..
    (73,42) --
    cycle
    (100,77) .. controls (105,74) and (121,81) ..
    (115,72) .. controls (111,71) and (106,63) .. 
    (103,69) .. controls (99,66) and (98,56) .. 
    (93,60) .. controls (97,61) and (98,70) .. 
    (93,64) .. controls (90,52) and (70,71) .. 
    (81,70) .. controls (91,64) and (93,82) ..
    (100,77) --
    cycle
    (136,67) .. controls (138,62) and (133,52) ..
    (129,61) .. controls (131,63) and (133,77) ..
    (136,67) --
    cycle
    (123,63) .. controls (122,55) and (104,57) ..
    (112,64) .. controls (116,65) and (120,66) ..
    (123,63) --
    cycle;%
\hspace{0.25em}%
}
\newcommand\texsxurl{URL \globe\url{http://tex.stackexchange.com/}}
\begin{document}
\par\tiny\texsxurl
\par\scriptsize\texsxurl
\par\footnotesize\texsxurl
\par\small\texsxurl
\par\normalsize\texsxurl
\par\large\texsxurl
\par\Large\texsxurl
\par\LARGE\texsxurl
\par\huge\texsxurl
\par\Huge\texsxurl
\par\fontsize{32}{36}\selectfont\texsxurl
\end{document}