Search the threads, there is tons of information already written about the types of pedals/cleats/shoes available.
At the most basic, you'll have to decide between 2-bolt and 3-bolt cleats. Generally 2-bolt = MTB pedals and 3-bolt = road pedals but there are variations.
The most popular are SPD and SPD-SL from Shimano, but others use the same bolt pattern and cleats.

Narrow down what you're looking for, then come back and ask some specific questions. Most of us went through the same process you're undertaking now.