I'm uploading this because it appears that Steam makes Fallout 4's icon 48x48px and it looks very ugly on my desktop.
I've seen other people online make their own version of the icon, in high-res to fix the issue, but I extracted this from the .exe in the game files, so it's the official icon.
I made the small thunderbolt (32px) and the blue icon with the yellow thunderbolt (16px) myself, because the official icons did not look very good.

The .zip file you download will have 3 folders, one folder contains all the sizes in .png format, another folder contains all the sizes in .ico format, and the last folder contains extra icons in .png format. The .zip also contains an "all-in-one" .ico file which contains all the sizes packaged into it, so when you change your shortcut icon, make sure to use this .ico file, not the others in the .ico folder.