Some more information. In making an MWE I removed a lot of stuff, including the use of XeLaTeX or LuaLaTeX, and fontspec. What I was actually trying to do was set up a suitable maths font environment to accompany Minion Pro. In seeking an MWE (took me most of the afternoon, snort), I have reporduced this behaviour with fontspec, and under all three engines (PDFTeX, LuaTeX, and XeTeX).
Original Question:
I'm trying to use mathpazo in a document. I may have a separate problem with fontspec, but I'll leave that to another question.
Here's my MWE:
\documentclass{article}
\usepackage{mathpazo}
\usepackage{tgpagella}
\begin{document}
When traffic is normal, the probability $P_2$
that this second message is waiting depends on two factors:
the message arrival rate $\lambda$
and the trigger processing time $t_T$;
its approximate value is given by
%\[ P_2 = 1-e^{- \lambda t_T} \] % Uncomment this!
\end{document}
When I process this with the display-math line commented out, I get a reasonable PDF with 4 fonts embedded (PazoMath-Italic, TeXGyrePagella-Regular, URWPalladioL-Ital and -Roma), which seems reasonable.
However, when I uncomment the display-math line, my PDF now shows two more fonts: CMR10 and CMSY10. Inspecting the output, I can't see any difference in the glyphs.
What's going on here? And, if it needs fixing, how should I fix it?

xelatex? If I compile withpdflatexI can't reproduce this behavior. I used Adobe Reader to check the fonts (Ubuntu 12.04). – Marco Daniel Apr 29 '12 at 16:47pdflatex. – lockstep Apr 29 '12 at 16:50