Switching to clipless you need to look at shoes first. There are 2 basic types, road and mountain (this may have changed since I bought my last pair) Most road shoes are difficult to walk in (you need to protect the clips from being damaged when walking on hard surfaces. Sometimes you'll see cyclists doing th heal walk). Mountain bike shoes have recessed clips, so the are easy to walk in. Myself I only do road cycling and I wear mountain shoes with recessed clips. Once you find shoes, then look for pedals, I use Shimano PD-M520. Then you'll have to consider cleats (cleats are the part of the shoe that clips into the pedals. there are 2 basic types single direction release and multi-directional release. I use the multi-release.
Do not attempt to buy shoes online. you have to go to your LBS and find a pair that fits properly.
I hope this info will help you while you research what's best for you.