In two player/etc I'll often accidentally press X to select my character, when to pick an explicit palette from a list you need to press Start (otherwise a palette is mapped to whatever button you press and you get that one). Is there any way to cancel out of this palette choice so I can choose again? If I press circle (cancel in PS3 controls) it just continues anyway.
Pressing Select (PS3, probably the same on 360) will act as "cancel" anywhere in the Character Select screen. This lets you cancel out of a palette, character or assist choice.