This is a tricky situation, TBH. Think about it from the other side: company invested HR and other resources to seek out talent, managed to arrange to hire you a few months ago, and assumed that you would work for them. From the company perspective, assuming they had to hire N people, you took a slot. Furthermore, because it is so late in the hiring cycle, it will prove to be hard to hire another qualified person.

It is not a terrible taboo. You are expected, as soon as you accept an offer, to stop pursuing other job opportunities. That being said, the company will be more understanding if you ended up taking an offer that was _SIGNIFICANTLY_ better than your current offer. If they have a shred of decency they will not share this information with anyone [and certain people such as COO and HR staff may be obliged not to discuss the situation as part of their contracts], so they won't hurt your chances at other firms. You can bet your bottom dollar that they won't reconsider you, though.

You should talk directly to the people who interviewed you [no email, letter, etc]. especially if the firm is much more reputable and the pay is significantly higher, they may be sympathetic.

But before doing it, make sure that is what you want to do. It may, in some circumstances, make sense to take on a job that pays less or is less reputable if you think you have a better opportunity to shine (I've turned down job offers from lots of much more reputable places in lieu of an offer that put me in a more senior position).