So I determined, after several hours over the last few days, that XeTeX just will not have anything to do with Palatino math fonts. I even tried an experimental
unicode-math package. Absolutely nothing seems to be able to get the two to work together: the
fontspec package seems to make it ignore the
pxfonts package, no matter where they come in the preamble.
I decided to give up, and go back to plain LaTeX with the
pxfonts package. This stinks, because I really like the Unicode support and the hassle-free way of selecting text fonts.
There is also another lesson I learned: having Fink teTeX, the old MacTeX teTeX, as well as the new LiveCD 2007 version of gwTeX installed on the same Mac will cause great confusion, and many lost fonts. I decided to wipe all three installations, and install the actual full MacTeX 2007 distribution, which cleaned up some of the mess going on.