I use these on all my bikes.

http://www.performancebike.com/bikes..._1033468_-1___

Inexpensive, and no hassle return to performancebike if you absolutely hate them. I commute in the city (chicago) and I would never go back to pedals that I can't clip into. I like the above pedals because I can wear regular shoes if I want to without switching pedals, and they have a spring adjustment screw which determines how tightly the pedals hold onto your shoes when clipped in. I leave it quite loose for city riding, which involves a lot of stop/start, and tighten it up for longer rides.

The shoes I use:

http://www.performancebike.com/bikes...1_20000_400034

Easy to walk around in. There is 'some' clacking of the cleats when you walk, but they are very comfortable on or off the bike.
Buy some shoes and pedals from someplace with a 100% no hassle return policy, and what have you got to lose? You will be AMAZED at how much better it feels to bike clipped in. I know I was...