I just rode with mine for the first time today. I would recommend going to a shop and looking at your options. Thats what I did, first we picked the pedals I wanted to go with, then the shoes. We then go the cleats mounted and adjusted while I was on a trainer. It was much eaiser than me trying to do it myself, expecially since I do not know what I am doing :-)

FWIW, I went with Shimano SPD's with Specialized Comp shoes.

If you have a shop you like, I would seriously shop/buy from them. It was painless for me to do it this way. Plus I bought my bike from this shop and he did not have any of the lower grade shoes in my size so he knocked off $70 on the Comp shoes and now I have a really nice shoe to start with.

BTW, I will NEVER go back to riding without them. I also rode with shorts for the first time today, WOW what a difference.