Declining an Accepted Job???

I accepted a job too quickly and now have myself in a pickle. I accepted and signed the offer letter, along with all of the new employee paperwork. I ended up getting an offer from the company I had been hoping to hear from originally. I know this is an awful situation that I've put myself in, please don't remind me - but advice would be greatly appreciate on what to do to handle this. Also, since I have filled out paperwork - they can't legally do anything can they??