I just switched to clipless last week. I am using 105 pedals and Shimano R-106 shoes. REI was blowing these shoes out @ $60 bucks (in store only). So far pretty happy with this combo.

Make sure when you buy shoes that they fit very snug. you don't want your foot moving around too much in the shoe.

edit: also when you install the pedals use an anti seize type grease. Most likely your cranks are aluminum and your pedals will have a chromoly steel axle. like this