I started with Shimano SPD (MTB pedals on my road bike) and Specialized road shoes. I found the pedals were pretty easy to learn on. The shoes caused horrible numbness after pedaling for any significant distance. Eventually I switched to Specialized MTB shoes and bought them a little more roomy- they were much better (and as an added bonus are much easier to walk around in). Then I upgraded to Sidi shoes and Shimano Ultegra pedals (I kept the MTB set-up and still use it on my older touring bike). The Sidi shoes fit really well. I like the ultegra pedals (and the wide platform on the bottom of the shoe makes it a little easier to walk on than most road cleats).
If you're just starting out, SPD (MTB) pedals and MTB shoes may be a good place to start. They're less expensive and offer most of what you get from a clipless pedal. The shoes are also easier to walk around in.



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