Well, at first I bought the Euro equivalent of my US size... 36 Sidis. Ouch. It was OK for spin. I used those on my first road bike and then switched to Speedplay pedals, so I got road shoes. I had to go up to a 38 and at that time they had the Megas (wide) in woman's shoes. Even though I wear a medium width in street shoes, I need the room. I bought a new pair of mtb Sidis for my hybrid in 37s eventually.
Then, I coveted a pair of the red Sidi Dominator road shoes and went they went on sale I grabbed them. But, they don't have the megas any more. So, I bought the 38's but after 30 miles, my feet are burning.
I have super narrow heels and a small-ish bunion on my left foot. My left foot is also almost a half a size bigger than my right. I wear a size 6 in sandals and casual shoes, but a 5.5 in dress shoes with a closed back and a heel. I am open to trying a new brand now, but don't know if I can find something that fits because a few years ago someone from TE (Surly Girl?) gave me a pair of Specialized mtb shoes in a 37 and they were HUGE on me. I sold them to someone else here on TE. Not many companies make size 36; I can deal with having the plain black shoes if need be, but I do love my red shoes that match my bike.