I was sitting here in front of my computer, rearranging my bookmarks and I realized I had lots of good ones related to color theory and some awesome palette websites!

Leaning about color theory is a must for every artist, in every type of art. The color theory of traditional art like watercolors and oils is surprisingly easier to understand, at least to me. You mix them right in front of you, real, and the outcome is 3-dimensional, not pixel, monitor quality and configuration or light dependent.
I find digital coloring much more complicated because it is very easy to be lazy and use a pre-determined color, that could ruin the art completely by making the focus point shift or disappear, or even making an unpleasant overkill.

There are many ways to teach yourself color theory. A simple google search takes care of it, but there are a few websites, in my opinion, that are great and easy to learn from.

About and UXmatters have simple color theory tutorials.
I like them because they are fast to read. Wikipedia also has an awesome one.
This website (doesn't really have a name) is a great tutorial for electronic and pigment-based color theory.
Liquisoft has a fast to read text for basics.
Tiger Color has a good article on color theory lexicon basics.
Worqx is also a great place to learn from with much more detail.
All these websites will teach you how to mix colors, how to chose them, when to use and how to apply by giving you a basic knowledge of color that you can adapt to your art style. It's important to know color theory because it is one of the major elements in an artwork or a web site design that can make you hate it if not done properly.

If you wish to buy books on color theory, some of the best ones in my opinion are: Color Theory by Jose Parramon, Color Choices: Making Color Sense Out of Color Theory by Stephen Quiller, Color Mixing Bible: All You'll Ever Need to Know about Mixing Pigments in Oil, Acrylic, Watercolor, Gouache, Soft Pastel, Pencil, and Ink by Ian Sidaway, and Color Theory Made Easy: A New Approach to Color Theory and How to Apply It to Mixing Paints by Jim Ames.

Now, some awesome online tools you can use...
These tools are mainly for digital artists and web designers.
In traditional art the best way to learn is to apply the rules and actually mix the colors and do some trials.

To me the best color tool ever is colr.org. They have all the magic, especially for swatch enthusiasts like me. Simply upload a picture or link its url and get a basic free swatch out of it, with main colors. This is a great tool for digital artists because most of the time we work with a brief, a concept reference image and having the main swatch taken out of it with no sweat is just awesome. It gives you more time to spend on a more detailed swatch over the basic one and really work some detail into your art.

Kuler is my baby. Sometimes I just look at it for inspiration on what colors make sense together and what is gross to look at. You can make a swatch and have people comment on it. You can use someone else's swatch and add colors to it, making it more complete before you use on your work... So many possibilities! And you can even alter swatches you find in the website and save them yourself. You can also upload an image to to it and retrieve colors from it like colr.

Color Scheme Designer is also a must have. It shows you the scale, with colors and values, where you can mix, get the color codes and even try a light and dark website color scheme. It is awesome for both web designers and digital artists. It gives you a selected reasonable scheme for the color you chose, from where you can branch into a beautiful complete palette. It's really good if you have problems with matching colors...

ColorMixers is mainly used by web designers, but for digital artists is a great tool for the RBG values of each color. You can enter the HEX code of a color and get it's RGB. Photoshop, Painter, Gimp and Paint Shop, etc, do that on their own, but it is still good to have this tool around just in case. On the RGB primary color box you can mix your main color and generate colors from it with all their codes and RGB values. I love it!

Another RGB color calculator is drpeterjones.com. It's simple and easy to use use. It mixes your colors on the whole page and you can save a custom pallette. It also shows the HSV and HEX codes of what you are mixing.

The Color conversion tool is a good simple tool that helps you convert colors between values of RGB, CMYK and HSV color spaces.

Other great HEX code websites for web designers and digital artists are:
Computer Hope's HTML colors, Huge color list, Hex Hub, Wikipedia's HTML list, CSS colors, and The complete HTML true color chart.

I also wrote an article about Color, from traditional to digital a while ago, that helps you understand how to move from traditional media colors to digital. And here you can find some of my swatches.