This really depends on what platform and specific OS you will be creating your icons for.
Modern operating systems like Mac OS X and Windows XP demand the use of millions of colors, so in order for your icons to look their best, it’s a good idea to start out with a full 32-bit palette.
Older versions of the Mac and Windows operating system however are quite limited, and you should select the appropriate 8-bit or 4-bit palette when needed.
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