Here's some helpful header info regarding sprite sets, graphics, etc. to get you started. Note that in most cases you can actually copy header data from a different level (eg. copy the data from 4-6 if you want to use the water/grass tileset/background, etc), but for those who are feeling ambitious and want to create a unique combination of tilesets/palettes/sprite sets, see below.
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Sprite Set Lists, thanks to Blumiere and Yoshis_fan
Here are two lists that show all 127 sprite sets and what sprites are compatible with each set. The second one, made by Yoshis_fan, has some more detail about each sprite at the bottom, but other than that the lists basically show the same thing.
Blumiere's list (text file, viewable on your browser)
Yoshis_fan's list (You'll need Microsoft Word to view this)
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Here's a complete list of tilesets and the palettes to go with them (courtesy of CD Productions):
Tileset List
0 - Cave with waterfalls and cross sections
1 - Ground with Palm Tree and cross section (for worlds 1-5)
1 - Ground with Bones and cross section (for world 6)
2 - Jungle stone (grassy or bald) with white flower, wooden platform, wooden pendulums and coral reef
3 - Semi-3D Castle Blocks with Semi-3D Pipes, and Wavy lava, and Jungle stone used for Hookbill the Koopa's room (the striped platforms and boxes will have a Semi-3D look when used with this tileset)
4 - Snowy ground with Icy ledges, animated water to go with the icy ledges, snow-capped tree, and Ski lift poles with bars
5 - Jungle ground with Jungle stones, treetops, vines, muddy surfaces, and jungle trees
6 - Standard castle tileset used for most X-8 levels
7 - Grassy ground with bushes and cross section
8 - Cave with lavafalls, icy surface, icicles, mushrooms, tall and stalked mushrooms, and crystals
9 - Ground with twisted trees and huge flowers embedded within the ground (looks similar to the "non-world 6" variation of tileset 1)
10 - Wooden castle tileset used exclusively for X-4 levels
11 - Sewer tileset (which is too complicated to do levels with!)
12 - Flowery ground with huge rocks used exclusively for levels in world 1
13 - Sky tileset with various shaped clouds and snow-capped rocky platforms used exclusively for levels in world 5 (5-6 and 5-8)
14 - Jungle castle tileset primarily used for the boss levels of world 3
15 - Grassy ground with raven platform and falling stone (looks similar to tileset 7)
Palette List
0 - Green cave and water
1 - Light green ground (for worlds 1-5)
1 - Brownish ground (for world 6)
2 - Blue-grayish stone with pure green grass
3 - Red jungle stone?
4 - Snowy ground
5 - Light jungle ground and green jungle stone
6 - Peach castle (from 1-8)
7 - Cyanish ground
8 - Green castle (from 3-4)
9 - Yellowish flowery ground
10 - Yellowish ground
11 - Sewer tileset palette (only suitable with the sewer tileset!)
12 - Green cave and lava
13 - Standard sky tileset palette from 5-8
14 - Brown castle (from 1-4)
15 - Green flowery ground
16 - Brownish ground (same as the "world 6 variation" of palette 1)
17 - Red cave
18 - Snowy or icy cave
19 - Golden ground
20 - Red ground
21 - Leaf green ground
22 - Purple ground
23 - Pink castle (from 2-8)
24 - Violet castle (from 4-8)
25 - Blue castle (from 5-8)
26 - Red castle (from 6-8)
27 - Dark jungle ground and purple jungle stone
28 - Pinkish sky tileset palette from 5-6
29 - Gray castle (from 5-4)
30 - Weird reddish palette
31 - Weird reddish palette again?
---Extra Info---
Here is a list of layer 1 objects that can virtually be used with any tileset:
15: Cloud platform
35: Animated water
37: Red line bridge
3C: Vertical pipe, enterable
47: Lava
63: Horizontal Wooden Platform
66: Ice Blocks
68: Coins
6B: Goal platform
6C: Grey stone blocks
6E: Multi-colored stone blocks
79: Red diagonal stairs
82: Green Red coins, grouped closely together
83: Green Red coins that make weird noises
8A: !-switch coins
8B: !-switch blocks
C4: Horizontal coins, every 2 tiles
C5: Vertical coins, every 2 tiles
C6: Diagonal coins, every 2 tiles
C4: !-switch horizontal coins, every 2 tiles
C5: !-switch vertical coins, every 2 tiles
C6: !-switch diagonal coins, every 2 tiles
CE-D2: Line guides, straight
DA: Blocks that are only solid for Super Baby Mario
F4: Vertical pipe, non-enterable
F5: Spikes
X12-15: Bridge guide, for use with ? cloud bridges
X14-15: Staircase guide, for use with ? cloud stairs
X17: Green red coin
X47: Bandit's House
X50: Right arrow sign
X81: Yoshi's House's Chimney
X82: Yoshi's House
X8E-91: Line guides, small quarter-circle
X9A-9D: Line guide ends
XA8: Left arrow sign
XC4: Egg block
XFB: Repeats objects in another screen
XFD: Allows screen to scroll into the screen it's placed in
XFE: Prevents screen from scrolling into the screen it's placed in
XFF: Prevents screen from scrolling into the screen it's placed in, and removes all tiles in that screen
----Layer 3 List-----
Here is a nice spreadsheet created by Yoshis_Fan which documents the layer 3 data in the game.
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Sprite Set Lists, thanks to Blumiere and Yoshis_fan
Here are two lists that show all 127 sprite sets and what sprites are compatible with each set. The second one, made by Yoshis_fan, has some more detail about each sprite at the bottom, but other than that the lists basically show the same thing.
Blumiere's list (text file, viewable on your browser)
Yoshis_fan's list (You'll need Microsoft Word to view this)
-----------------------------------
Here's a complete list of tilesets and the palettes to go with them (courtesy of CD Productions):
Tileset List
0 - Cave with waterfalls and cross sections
1 - Ground with Palm Tree and cross section (for worlds 1-5)
1 - Ground with Bones and cross section (for world 6)
2 - Jungle stone (grassy or bald) with white flower, wooden platform, wooden pendulums and coral reef
3 - Semi-3D Castle Blocks with Semi-3D Pipes, and Wavy lava, and Jungle stone used for Hookbill the Koopa's room (the striped platforms and boxes will have a Semi-3D look when used with this tileset)
4 - Snowy ground with Icy ledges, animated water to go with the icy ledges, snow-capped tree, and Ski lift poles with bars
5 - Jungle ground with Jungle stones, treetops, vines, muddy surfaces, and jungle trees
6 - Standard castle tileset used for most X-8 levels
7 - Grassy ground with bushes and cross section
8 - Cave with lavafalls, icy surface, icicles, mushrooms, tall and stalked mushrooms, and crystals
9 - Ground with twisted trees and huge flowers embedded within the ground (looks similar to the "non-world 6" variation of tileset 1)
10 - Wooden castle tileset used exclusively for X-4 levels
11 - Sewer tileset (which is too complicated to do levels with!)
12 - Flowery ground with huge rocks used exclusively for levels in world 1
13 - Sky tileset with various shaped clouds and snow-capped rocky platforms used exclusively for levels in world 5 (5-6 and 5-8)
14 - Jungle castle tileset primarily used for the boss levels of world 3
15 - Grassy ground with raven platform and falling stone (looks similar to tileset 7)
Palette List
0 - Green cave and water
1 - Light green ground (for worlds 1-5)
1 - Brownish ground (for world 6)
2 - Blue-grayish stone with pure green grass
3 - Red jungle stone?
4 - Snowy ground
5 - Light jungle ground and green jungle stone
6 - Peach castle (from 1-8)
7 - Cyanish ground
8 - Green castle (from 3-4)
9 - Yellowish flowery ground
10 - Yellowish ground
11 - Sewer tileset palette (only suitable with the sewer tileset!)
12 - Green cave and lava
13 - Standard sky tileset palette from 5-8
14 - Brown castle (from 1-4)
15 - Green flowery ground
16 - Brownish ground (same as the "world 6 variation" of palette 1)
17 - Red cave
18 - Snowy or icy cave
19 - Golden ground
20 - Red ground
21 - Leaf green ground
22 - Purple ground
23 - Pink castle (from 2-8)
24 - Violet castle (from 4-8)
25 - Blue castle (from 5-8)
26 - Red castle (from 6-8)
27 - Dark jungle ground and purple jungle stone
28 - Pinkish sky tileset palette from 5-6
29 - Gray castle (from 5-4)
30 - Weird reddish palette
31 - Weird reddish palette again?
---Extra Info---
Here is a list of layer 1 objects that can virtually be used with any tileset:
15: Cloud platform
35: Animated water
37: Red line bridge
3C: Vertical pipe, enterable
47: Lava
63: Horizontal Wooden Platform
66: Ice Blocks
68: Coins
6B: Goal platform
6C: Grey stone blocks
6E: Multi-colored stone blocks
79: Red diagonal stairs
82: Green Red coins, grouped closely together
83: Green Red coins that make weird noises
8A: !-switch coins
8B: !-switch blocks
C4: Horizontal coins, every 2 tiles
C5: Vertical coins, every 2 tiles
C6: Diagonal coins, every 2 tiles
C4: !-switch horizontal coins, every 2 tiles
C5: !-switch vertical coins, every 2 tiles
C6: !-switch diagonal coins, every 2 tiles
CE-D2: Line guides, straight
DA: Blocks that are only solid for Super Baby Mario
F4: Vertical pipe, non-enterable
F5: Spikes
X12-15: Bridge guide, for use with ? cloud bridges
X14-15: Staircase guide, for use with ? cloud stairs
X17: Green red coin
X47: Bandit's House
X50: Right arrow sign
X81: Yoshi's House's Chimney
X82: Yoshi's House
X8E-91: Line guides, small quarter-circle
X9A-9D: Line guide ends
XA8: Left arrow sign
XC4: Egg block
XFB: Repeats objects in another screen
XFD: Allows screen to scroll into the screen it's placed in
XFE: Prevents screen from scrolling into the screen it's placed in
XFF: Prevents screen from scrolling into the screen it's placed in, and removes all tiles in that screen
----Layer 3 List-----
Here is a nice spreadsheet created by Yoshis_Fan which documents the layer 3 data in the game.