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2 comments
The link below is a good place to start, but ultimately you have to decide what works best fo you and what is most comfortable. I started with SPD and moved to Look Keos (quite similar to SPD-SL), which I found to be much more comfortable as the contact area is much larger than the SPDs.
http://road.cc/content/buyers-guide/157514-buyers-guide-cycling-shoes
Hello. I have been through the same process (not finished yet mind...) over the last few weeks.
From my very limited but very recent experiences I would recommend road pedals rather than MTB pedals. I have found them easier to use (I am using Shimano SPD SL).
Practice using them in a safe place. Be careful setting them up and be wary of any aches and pains - seek professional advice from a bike fitter if you get any pains. That's the bit I'm at now
Cleats are specific to manufacturer in the main and they come with the pedals so as long as you get appropriate shoes (3 hole for road, 2 for MTB) you should be fine. There are a few variations - Speedplay spring to mind - but suitable adapters are provided with the pedals and cleats. Good luck!