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There are 2 basic shoe types. The cleat that screws onto the shoe actually comes with the pedals but you have to have the correct shoe type so the holes will line up.
• Road shoes which have 3 holes in a triangle pattern and work only with lightweight and aerodynamic LOOK style cleats. Unless you are aspiring to ride as fast and as light as possible these type of shoes/pedals are probably not your best bet as they can not be used at all offroad (whereas mountain type pedals do just fine on-road) are very difficult to walk any distance off of the bike in and they tend to be more expensive that and mountain/general use type pedals and shoes.
• Mountain/General use shoes have what looks like an = [equal sign] on the bottom of them with a sliding metal plate with 2 holes in it. These shoes are compatible with SPDs, egg beaters, and Time Ataks. For general use these are better in almost every way. They are less expensive, there is a wider variety of pedal/shoe styles available, the shoes generally have enough tread that you can walk around (at least a little) without difficulty, and I use them so you get coolness points for being like me!
If you are concerned about matching pedals and shoes (I remember I was very nervous the first set I ever ordered that they wouldn't work together) you can often find pedal/shoe combos being sold online such as:
Shoes and SPD's
-or-
Shoes and egg beaters
I'm a big fan of SPD's myself but opinions on which style of clipless pedal is best are wide-ranging and there is no single "correct" answer as to what style is superior.
