Piece of cake to install the pedals. Most pedals can be removed and installed with a spanner and/or allen wrench. You may need a pedal wrench for really tough buggers, but I never have yet. I changed two sets of pedals just a couple of weeks ago - took me all of about 20 minutes. I saved about 40% by buying my latest pedals online.

Cleats are easy to 'install', but positioning them is a different matter. In any case, most LBSs don't include a full positioning service in standard installation and purchase of pedals. Install the cleats yourself, have a play around with them to try and get the position right. If you experience knee pain, then it might be worth paying for them to be positioned correctly (though more likely to be required for road riding than MTBing).

I'd recommend buying the shoes from the LBS, or at the very least trying the shoes before ordering online. IMHO, if you're going to try the shoes in the store, do them the courtesy of buying them in the store. You'll save so much on the pedals that the little but extra you pay for the shoes will be worth it to make sure you get the right size. Of course, you can always risk buying the shoes and having to risk a return if the size isn't right. Your call on that one....