Becky--my only advice with the clipless pedals and shoes (if you do end up going to your LBS to check them out) is to not go "nuts" on the lightest carbon, high tech, gold plated new technology. I'm sure you already knew that, but it's probably worth mentioning since, like anything related to the bike, pedals and cleats can get pretty expensive. Since it's your first set of clipless pedals, you can get by with one of the base models. There are a few different types to choose from--the two most common are the Shimano SPD and Look types. Look-type pedals have more "float," which means you have up to 9 degrees of rotation allowed for the pedal to float back and forth. it basically keeps your leg moving in a more natural rotation (if your legs tend to shift in or out around the pedal stroke) as opposed to a pedals with no float that force you to keep your leg in the same position through the stroke. If you've had any knee or leg issues in the past, these pedals are the way to go.
You'll have to choose between the SPD or Look type cleat when you get to the store, as the pedals and cleats are set up differently for the two main types. Most of the shoes that you will choose can accept either type cleat.
Shoes can vary greatly, mainly between stiffer "dedicated" biking shoes which are designed only to be used on the bike, as well as a more typical shoe which accepts a cleat on the bottom, but can also be used for walking somewhat comfortably. I'm no expert, so I can't comment on which type is better. I have the dedicated biking shoes, and they seem to work for me. I will say that you will want to listen to the reps at your LBS regarding fit/sizing of the various shoe types. Comfort is very important, especially if you want to do long rides in them.
Ok, that's about all I know about shoes. Like I said, I"m not expert, but I know what's worked for me and the pedals/shoes definitely made a HUGE difference on my biking efficiency when I began using them.
Hope that helps!
Steve