In addition to Svend Mortensen’s answer, too long for a comment.
For Xe(La)TeX or Lua(La)TeX see also update below.
If you already set a document with a lot of \hrefin it, you also can redefine the hrefcommand by copying the original macro to a new one with \let (works here, but not in every case!), see my example.
Note, that I used a dedicated hyperref option for hiding the links. I also show some symbols from two dingbat fonts. Fonts of this type should be in general the most useful for your need.
\documentclass{article}
\usepackage{bbding,pifont} % two dingbat fonts
\usepackage{graphicx} % "graphics" would be enough for the minimal example
\usepackage[hidelinks]{hyperref}
% Redefinition:
\let\orighref\href
\renewcommand{\href}[2]{\orighref{#1}{#2}\,\ArrowBoldUpRight} %bbding
% the same with symbol included in link:
% \renewcommand{\href}[2]{\orighref{#1}{#2\,\ArrowBoldUpRight}}
% Examples:
\newcommand{\hrefa}[1]{\orighref{http://example.com/}{#1}\,\scalebox{0.75}{\ArrowBoldUpRight}} %bbding
\newcommand{\hrefb}[1]{\orighref{http://example.com/}{#1}\,\ding{230}} %pifont
\newcommand{\hrefc}[1]{\raisebox{-0.4ex}{\HandRight}\,\orighref{http://example.com/}{#1}} %bbding
\newcommand{\hrefd}[1]{\scalebox{1.3}{\raisebox{-0.3ex}{\ding{43}}}\,\orighref{http://example.com/}{#1}} %pifont
\newcommand{\hrefe}[1]{\scalebox{0.8}{\raisebox{-0.5ex}{\HandRightUp}}\,\orighref{http://example.com/}{#1}} %bbding
\newcommand{\hreff}[1]{\ding{226}\,\orighref{http://example.com/}{#1}} %pifont
\newcommand{\hrefg}[1]{\ding{238}\,\orighref{http://example.com/}{#1}} %pifont
% the last with symbol included in link:
% \newcommand{\hrefg}[1]{\orighref{http://example.com/}{\ding{238}\,#1}} %pifont
\begin{document}
\hrefa{link A}, \hrefb{link B},
\hrefc{link C}, \hrefd{link D}, \hrefe{link E}, \hreff{link F}, \hrefg{link G}
\end{document}

Update:
Bad timing – shortly after writing of this answer a new package fontawesome was released. For Xe(La)TeX or Lua(La)TeX users this package “grants access to 249 web-related icons provided by the included Font Awesome free font” (cite from documentation abstract). One of them is the symbol for external links accessible with \faicon{external-link} or \faExternalLink:
% Compile with LuaLaTeX or XeLaTeX
\documentclass{article}
\usepackage{fontawesome}
\usepackage[hidelinks]{hyperref}
% Redefinition, symbol included in link:
\let\orighref\href
\renewcommand{\href}[2]{\orighref{#1}{#2\,\faExternalLink}}
\begin{document}
\href{http://example.com}{example web site}
\end{document}

symbols_a4.pdfif you can find a suitable symbol and define your own command which prints the symbol and the hyperlink. If you don't find a symbol you need to define your own symbol, e.g. with TikZ. – Uwe Ziegenhagen Feb 22 at 16:43