I agree. I wear a size 5.5 in dress shoes and 6 in casual shoes. My first cycling shoes were 36's. That was Ok for spin class and short rides, but as soon as I did a hot 40 mile ride, ow! Those Sidis became like instruments of torture.
I now have Dominators in a 38. I also have a pair of Sidi mountain bike shoes, which are 37s.
The Sidis do seem to run 2 sizes too small. At one of our TE lunches, Surly Girl gave me a pair of Specialized mtb shoes, size 37. I thought they fit me, but when I went to wear them riding, they were moving all over the place, even with wool socks. I really needed 36s in those.
I am now lusting for a pair of red Dominators. TE had some, but they are out of my size now.