I assume since your bike is a Giant Yukon that we're talking mountain bike pedals here....

Shoes: hard sole will be more energy efficient, and I find them much more comfortable for longer rides. If you're doing a lot of walking around in the shoes, you may find the sneaker-style soft-sole shoes to be a better option. Comfort is the big thing, IMHO. They need to be firm fitting, but not tight. If you'll be doing a lot of winter riding, you'll need to be able to accomodate warmer socks (or perhaps get a second pair of slightly larger shoes).

Pedals: There are three big MTB pedal systems out there.
* SPD (Shimano and many copies) - cheapest system out there, but big weakness is poor mud shedding on the low end models
* Egg Beater (Crank Brothers) - great mud shedding and easy release system
* Time ATAC - also great mud shedding, has lateral float which some people find riders find annoying.

I hated SPD pedals off-road. I found the mechanism very 'sticky', even in dry conditions. I've never tried Time pedals, though most who try them like them, but have been very happy with the Egg Beaters. Check out some of the pedal reviews on www.mtbr.com to get an idea of what riders think of them.

Assembly: Easy. Normally you just need an open ended 15mm spanner/wrench and/or an 8mm allen key. Often the stock pedals will be hard to remove if they weren't greased properly before installation, requiring a liberal application of elbow grease to make them budge. Grease the threads before you install the pedals to make sure they're easy to take off again later on (if you ever need to change them). Cleats are very easy to install in the shoes. The pedals should come with instructions for installation - if not, you can normally download the guide from the manufacturers website.