Just wondering what capacities and speeds of SDHC cards the Pandora supports?
A theoretical max of 45MB/s. Practical transfer speeds have been benchmarked at 16MB/s read and 12MB/s writes.
Is it worth me buying a Sandisk Extreme 32GB Class 10 UHS I?
Depends on your use case. The class doesn't dictate average speeds, it simply gives a guaranteed minimum sustained write speed. A class 10 and a class 6 might both average 20MB/s write speeds, the key difference is that a Class 6 might drop to 6MB/s very briefly before getting back to full speed whereas the Class 10 will never drop below 10MB/s.
Assuming that's not the case, however, that the Class is tied to averages, a Class 2 can load a song in a second (or two), a class 4 is enough to playback a video about 40 times faster than normal. The aforementioned benchmarks were repeated with both class 10 and class 6, so unless you absolutely need to ensure your write speeds never drop below 10MB/s (such as recording raw HD video) there's no need to use a Class 10 over a Class 6, and you can probably even get away with Class 4.
Even if the averages are slower, as I said, all playback of whatever you're doing are well below the expected playback rate of whatever you're doing (Music, videos, PSX emulation, all have nominal requirements well below the 2MB/s gauranteed by Class 2). The only time a faster speed will offer benefit is if you're running the OS off an SD card (where faster loads is always a good thing) or when writing a lot of data to the card and waiting really isn't an option.
Or is there a limit on what the Pandora actually supports?
I seem to recall the only people who had any problems were those using exFat formatted cards, and one person who found their card to be just slightly too thin and needed to wedge it with a folded piece of paper. I could be wrong about that, but there's no practical reason other than these two (both of which are solvable) that any SD card wouldn't work.