First, you might want to try my .s2d image converter that's here on the site ^^;
I'm not sure about what sprites you want. I'll talk about the player sprites, then.
All the MKR palletes are of the 15 bit variety, and are stored somewere in the player files in the root... as far as i could tell, the format is identical for all 9 files. look in hexidecimal for lots of strings contining a 7X XX pattern (for Hikaru) or XX 7X for Umi ... Fuu's pallete is almost impossible to detect (since G is shared bewteen the 2 bytes). I'm sure there is only one pallete for all motion sprites, and it's allways stored in the same location.
Most stuff in ADV has the pallete just before the start of each image, so its a matter of looking.
Not sure if you're using my tools, so if you're interested in porting values from one to another (better) sprite decoding program the hex values that should be used are the hexadecimal of those you see - 1...
Biggest problem i've found is that I can't get the "other" face sprites, those that appear in the game (that include other persons and SD's of the Knights), not those in the GUI (those in the faces dir)
Err... you just really need to especify what you are looking for. There's at least 3 diferent formats that i'm aware being used in MKR, and i only figured out 2 of them