Shoes: buy ones that fit and are drilled for your pedal of choice. Perhaps if you can give us your foot characteristics (wide/narrow, narrow heel, etc) we can give specific suggestions. My suggestion right now is to go try on a bunch. They should fit more snugly than sneakers, but they shouldn't be tight.
I've been using Shimano M540 pedals for two years. Decent pedal for the price, and I found them easy to use once I got past the fear. Speedplays are also supposed to be easy to get in and out of.
Depending on your needs (I see you're getting into tris), you might consider a true road pedal off the bat. DBF loves his Look Keos, and Speedplay does make several road pedals.