When you're ready to take that step, there are lots of choices, which makes this both interesting and perhaps a bit difficult. The really tough part, in my opinion, is the shoe; your average cyclist could get comfortable in most of the major pedal systems with a little practice, but shoes are very personal. Cycling shoes can be difficult to get a good feel for unless you take them for a test ride -- not always an option.
So give them as good a walk around as you can, at least. You'll want a shoe that's comfortable; it needs to hug your foot with soft but firm, even pressure from ankle to toe. Imagine yourself stomping hard, pulling your leg up aggressively, pushing it down; that baby needs to hold snug without pinching or chafing.
Look for a rigid sole -- though getting a full-carbon, I-beam solid bottom is overkill. Sidi and Diadora both offer some good models with great rigidity and flex where appropriate. Get something stiffer later if you'd like.
When you're selecting both your pedal and your shoe, keep compatability in mind. Browse the mfg's webpages, or talk to your local wrench heads. Most modern systems work with most modern shoes, but there are a few exceptions, so double check.
Pedals? Well, Shimano's SPD format and its variants are extremely common, and you've got endless choices (from the new Dura Ace pedal to cheap generic clones from BikeNashbar). They're fairly easy to use, though keep in mind that most of the road units in the SPD format (as well as most Time, Look, and Campy pedals designed for road use) sport single-sided entry.
That's not too hard to get over, but it makes the initial learning curve a touch steeper. If Shimano appeals to you, and this is your very first clipless pedal experience, you may want to consider one of their mountain units -- they're a bit bulkier in general, but you don't have to pay as much attention to the top or bottom of each platform, because they're dual-sided.
How do the different formats feel? Well, I've only used Shimano SPDs and Speedplay. I'm a Speedplay guy for life, personally. Shimanos feel fairly secure, but it's a rigid sensation that becomes more tolerable depending on how much you pay. SPD systems are typically stingy with "float," or the degree to which your foot can pivot side-to-side on the cleat -- for most people, some float is critical for knee health and overall comfort.
Speedplay, by my book, offers the simplest range of easy to use, high-performance, affordable pedals out there. They've got 5 excellent road models (and a cross/mountian model) that all share the company's excellent product features: they're superlight, they've got uncomplicated (just STOMP) dual-sided entry, and they give you float like nothing else. The dual-sided stomp entry makes them easy for beginners; the low weight and luscious float make them great for enthusiasts (like me) and pros alike.
My roadie beginner girlfriend, despite being VERY nervous about clipless pedals, just took to a pair of X3s, and it took her about five stress-free minutes.
Anyways, check out these mid/low priced products -- and good luck!
Sidi Dynamic
Diadora Cosmo
Pearl Izumi Vortex
Speedplay X3
Speedplay X2
Shimano Ultegra
Shimano PD-540 (mtn)
There are better prices elsewhere, FYI, but Performance is a good place to start when browsing online.
