As far as going clipless first on a spin bike it's up to you. The other ladies are right though, you will not get the full lesson on clipless just by unclipping from a spin bike. It seems that the unclipping isn't hard, its the stoping and not falling over before you get out of your pedals. So even if you work out with the same pedal system all winter you plan to use on your road bike come spring you still might fall over stopping.

As far as pedals it is up to you really, my experience is limited. Plus I don't have to worry about clipping into a spin bike because I put my bike on the trainer for the winter, most workouts are done at home.

As far as shoes I bought Adidas which is compatable with just about any major pedal on the market. It seems most shoes are drilled for Look and SPD
It appears you have to be more careful buying shoes drilled for Time and Speedplay systems.