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.Does it matter what type of pedals I use, or do all shoes fit different cleats to fit the type of pedal?
• 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
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.