I use Shimano M515's with a pair of Axo Vipers I got on sale. Rock solid combination although you do need to check your cleat wear/tension from time to time. The only time I came out of them led to a heinous crash. I wasn't clipped in properly; I've never had them pop out spontaneously.

There's a fair number of SPD compatible shoes that are good for hoofing around in (Lake Mx100's come to mind). Shoes and clips can be got cheap like borscht on ebay (as others have mentioned). A quick boo had 515's starting at between $10 - $25. I generally cross reference shoes against Mountain Bike Review to check out the product quality http://www.mtbr.com/