You can get SPD-compatible pedals for not a lot of dough. If you're on a budget, Coda makes some that are nice. I shelled out for the pedals, and then looked for a good sale on shoes (since it's the pedals/cleats that make the most difference, IMO). I've had super-cheap shoes (Nashbar specials, baby! And they were great) and super-expensive shoes (SIDI's with ratcheting straps, also great). Right now I have Pearl Izumi shoes. I think they are Vortex?? I can't remember. They are a great fit, but the screw-in cleats keep falling out, and the shoe sole is actually separating from the top part at the heel -- and I've tried EVERYTHING to glue 'em back together. Guess I'll have to break down and get new ones.
I would advise to buy the highest quality pedal you can, and buy a shoe with the best fit you can get.
Fast=Fun