UPDATE (free for personal use):
HTTPS IS NOW SUPPORTED
While my answer below detailing how-to for each service WILL work, IMO it's much easier now to go with a third-party like AddThisEvent [https://addthisevent.com]. It lets you customize lots of options as well as add to Facebook and more. Unfortunately, they've now made it a paid service for anything other than personal use and do enforce this.
I assume there are other third-party solutions like this one, but I can only speak to this one, and it has worked great for us so far.
For an "Add to my Google Calendar", they used to have a code generator form you could use, but have since taken it down. For more details on Google Calendar links, see squarecandy's answer below.
For Outlook, it's a BIT more complicated, but basically you need to create a .vcs
file with the event's data, and just make a link to that file. Step-by-step instructions here.
For an iCal link, you could use a PHP class like this one, or follow this page's instructions on how to create an ics
file (iCal file).