When you typeset an email address, you can put a "@" or a letter symbol in front of it. In the same fashion, what symbol can be used in front of a URL?
5 Answers
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:

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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.
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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) ..
(20,72) .. controls (10,78) and (10,91) ..
(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}

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Nice, the border is thicker than in the marvosym version, and overall it's cuter. Thanks. – Alice M. Nov 03 '17 at 14:36
As Paulo Cereda mentions, you can use Mundus.
I would like to add that you can use \href to display text, instead of the url, like a placholder. Like this:
\Mundus~\href{http://tex.stackexchange.com}{stackexchange}
So full usable code:
\documentclass{article}
\usepackage{marvosym}
\usepackage{hyperref}
\begin{document}
\Mundus~\href{http://tex.stackexchange.com}{stackexchange}
\end{document}
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1Welcome to TeX.SX!. Just a few tips: you can mark up code by indenting it with 4 spaces, or by selecting it and clicking
{}, or by hitting Ctr+K. Also, to use\hrefyou need thehyperrefpackage, not onlyurl. And finally, the OP asked for the "symbol", not the link, and the symbol was, as you mentioned, covered by Paulo Cereda, so your answer is more fit to a comment, in this case. But since you don't have the reputation (yet :) to leave a comment, I think it's fine +1 :) – Phelype Oleinik Mar 13 '18 at 12:25
I was looking for something and found this super helpful list of LaTeX symbols online. Here's something from the fontawesome package that you may find relevant for links: 
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=(When used on a tiny font, this symbol almost looks like a black dot. – Paulo Cereda Jul 07 '11 at 15:00inkscape --export-pdf file.pdf file.svg) and included as images. We are working on a package providing this symbols. – Martin Scharrer Jul 07 '11 at 15:06height=1.6ex(or similar value inex) so that the icons scales with the font size. – Martin Scharrer Jul 07 '11 at 15:56=)– Paulo Cereda Jul 08 '11 at 10:12