Two factors should be considered when choosing (or making) a palette. The first: comfort. The second: space.
A palette must be comfortable enough to hold in the hand without fatigue, and especially without pain. To meet these requirements the palette must be a shape suitable for the size of your hand. It would also be advisable to consider a few positions that your hand might move between, so that some variety may help to combat fatigue.
Another quality of a comfortable palette is balance. If the palette balances correctly on the hand (like a teeter-totter, never touching ground), virtually no energy is required to hold it.
A palette must have enough space to accommodate your tube colors and leave ample room for color mixing. This characteristic, strangely, is more unique to you than the size of your hand. Some people need to lay out every color available and don't require much room for mixing. Others get by with a few key colors and mix extensively. Only experience will inform you of your place on the scale, and what size you require.
The size of your paintings must also be considered in determining the appropriate palette. If you paint at a very large scale, it is probably true that you use big brushes at some point, and you may find it useful to use a larger palette.
Standard Palette Shapes:
The large arm-palette design, when properly made, is a fine choice. They are usually counter-weighted and balance nicely. I personally find them too large for my needs, and sometimes quite expensive.
The square shape is often what comes with a French easel, or any other box set. Clearly, that's because it fits so nicely inside the box, but in my experience, the trade-off for that stow-away trait is that it's uncomfortable.
(I made a "closed" palette for my French easel by measuring a board to fit perfectly inside the tray, and then cutting holes in the center to grip.) 
The Pac-Man shape is a curious one. These small palettes are very inexpensive but horrible to hold for any length of time. When using these I find that they are set down more often than hand-held.
Tips for Making Your Own Palette:
I first started by altering some store-bought palettes. But I found this to be more complicated than it was worth, and if you're interested in making your own palette, I'll tell you how I made mine (pictured at top).
I will admit, my design may not be the most attractive, but I have not met anyone who didn't agree how comfortable it is to hold.
I chose a quarter inch Baltic birch plywood because of its clear grain, light weight, and strength. The first step in construction was determining the appropriate size. I cut a rectangle measuring approximately 13x20". From there, I marked the center and put the edge of the thumbhole against it, for balance. I then determined the range of finger positions and cut a space large enough to accommodate those positions comfortably. The rest is just fine-tuning, keeping in mind not to disrupt the balance by removing too much from any one side.
The only thing left to do is stain it (if you want to) and then seal it. I used polycrylic, but any wood sealer would work. After the first few uses, I was sure to oil it with linseed oil. Now, 3 years later, the surface is like glass.
(07/30/08)