Two quick items:
Item 1: When you try to create a parameter using the Type of Parameter: Family Type...
you have to choose a category.
If you don't have the family you intend to connect this parameter to yet Revit asks you if you want to load one now.
If you choose Yes you get to go find it and load it. If you choose No Revit bails out and doesn't finish creating the parameter.
Silly. Let me create my parameters please, I can load the other stuff whenever I'm ready.
Item Two: Revit 2012 offers a export option to create a Type Catalog from your existing family content. Just open a family and using the Application Menu > Export > Family Types (remember to scroll down to the bottom).
Bummer though...it doesn't work for the Type of Parameter: Family Types... Thanks to Aaron Maller and RevitForum.org for the heads up on this one!