Shoes and pedals are one of the things you might want to consider spending some money on to get a higher-end model. This is for a couple reasons: a) weight and b) fit and comfort. Better cycling shoes are just like better regular shoes – they’re made better and they fit better. When you’re riding for 25 or 50 miles or more, having a comfortable pair of shoes is a big deal!
As far as weight is concerned, that can be a big deal as well. Shoes and pedals are part of the “spinning weight” of the bike system. In other words, when you’re riding, you’re constantly lifting your pedals and shoes. For example, if your average cadence (the speed at which you pedal) is 90 revolutions per minute. In a typical two-hour ride, you will have rotated your pedals over 10,000 times! It doesn’t take a rocket scientist to figure out that lifting a little less weight each one of those times can be very beneficial! (Note, we’re really talking about inertial weight here, since your pedals and shoes are supported by your crankarms. But the point is still valid!)
There are tons of different brands and models of clipless pedals out there. The originals were made by Look, modeled after their ski bindings. Shimano makes very popular ones, as do Speedplay and Time as well. The best bang for your buck currently, in my opinion, are the Look Keo Max 2 Carbon pedals. You can find them on-line for around $150 a set and they’re very light. Other high-end carbon pedals will set you back more like $300 to $500. I’m currently using the Look Carbon Blade models with titanium axles. They are slightly lighter than the Keo Max 2, but much more expensive. (I paid roughly $275 on-line, but the retail for more like $400.) This is a part of a “weight weenie” experiment I’m conducting, however, so I don’t necessarily think you need to spend that much on pedals! (As I told my wife, my pedals cost more than her entire bike!)
If possible, try before you buy – pedals are a very personal thing, which is why bikes don’t come with them. Each brand and model has a slightly different feel to them, and you will likely be partial to one more than another. The degree of “float” they offer is one factor (how much you can twist your foot before it becomes unclipped). More float gives you more freedom, but can also feel too sloppy. Another factor is the cleats themselves. If you’re going to be walking in your cycling shoes at all (i.e. you like to stop for breakfast or a cup of coffee after a morning ride), you might want to consider ones that give you a wider platform to walk on. Some brands require “coffee shop covers” to go over the cleats in order to make them usable for walking. Otherwise they can be unstable and/or slippery. Other brands have built-in rubber pads on the bottom of the cleat, which allows relatively easy walking. (Although you’ll still look like a girl in her first pair of high heals!)