Since you can't mix different colored pastels together to make a new color, having a well-rounded palette is super important. Here are my top five tips:
1. Represent the entire color wheel.
Have pastels in your palette from every color family on the color wheel. Be sure to have light, medium, and dark versions in each of those families.
2. Don't forget the neutrals.
It's easy to focus on the bright shiny candy-like colors because they draw the eye. The truth is that more neutral tones are the foundation of every painting, those bright colors are just the finishing touches.
3. Have at least two textures of pastel.
Soft pastels come in a range of textures, soft textured sticks behave differently than medium and hard varieties. When you're painting, different textures will do different things for you. If you only have one texture of pastel, you may not be able to achieve certain techniques. Incidentally, you might also discover that you prefer working with a one texture over the other. There are many pastelists who prefer soft to medium textured brands, and don't enjoy working with harder textured varieties. If you only ever work with hard pastels (which tend to be less expensive, and what many people first buy), you may not realize how differently they behave compared to soft-textured varieties.
4. Have a variety of really light and dark colors.
A common thing I see when students start taking classes with me, is that they don't have enough or enough variety of dark and light pastels. Sometimes the only dark colors I see in student's palettes are black and white. That leaves them with a huge hole in the value scale of their pallet, and at a disadvantage when trying to paint.
If you want to learn more about value I'll have a post about the topic soon
5. Don't just buy general sets, get specialized sets and individual sticks.
Buying pastel sets when you're just starting is great, but they tend to be lacking in certain areas. Sets often don't have enough, lights, darks, and neutrals (unless it's a set specifically designed to address one of these areas). So get all your pastels together, take a look at what you have, and fill in any weak areas with some individual sticks, or if you're missing a lot of something (like cool greens, or neutral) get a specialty set.