I remember being in the Wal-Mart toy section not long after TPM, and reading the Emporer's biographical card for his action figure. I think it said outright that Sidious/Palpatine were one in the same (or at the very least, switching between the two on its holo-card thingy). The details are fuzzy.
It was probably meant to be painfully obvious to the viewer from the very start of the PT, but obviously not to the surrounding protagonists.