I have a document that so far has used mathpazo for everything. I love the texlive distributed Palatino for maths and body text. The small caps in particular are much better than the True Type Palatino on my Mac. However, I want to use my True Type Futura for headings. Thus I decided to use xetex. All is well except I can't work out how to load up Futura without unloading mathpazo. I can use fontspec to load up the True Type Palatino, but that is a big demotion for by body text. I want mathpazo for everything except headings and to use my True Type Futura for headings.
I don't think that in the long run you will be very happy with the combination of mathpazo (which needs an encoding like T1 or OT1) and xelatex for normal texts: You won't be able to use a lot of non-ascii chars in the input, e.g. euro and sharp-s will not work. Apart from this: If you want to use a "fontspec font" in the heading you must change the encoding to EU1: