Best option I’ve found is via a shortcode. Open your functions.php in your favorite text editor and first enable shortcodes for widget titles:

add_filter('widget_title', 'do_shortcode');

Then, add your shortcode with the icon:

add_shortcode('iconthlist', 'wpbase_iconthlist');
function wpbase_iconthlist() {
return '<i class="icon-th-list"></i>';
}