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My wife prefers to ride with mtn bike shoes and pedals because the mtn bike pedals have 2 sides of entry/attachment. Mtn bike shoes also have a substantially grippier sole than most road shoes and are generally easier to walk in.

If you are starting off on the inexpensive end, I'd stick with Shimano SPD pedals like the PD-M540 or PD-M520 ( ) Forget the cheap knock-offs and no-name brands. For the money, Shimano SPD pedals tend to be low maintenance, durable and easy to adjust release tension, etc.

FWIW, I use Time Atacs on my mtn bike and really like them. Prior to that I was using Shimano SPD pedals. I still use Shimano road pedals on my road bikes after giving up on LOOK's road pedals (too much squeaking from the cleat).

Note that some cleats may require modification of the shoe or an adapter plate. Some speedplay cleats come to mind. Shimano stuff avoids all that.

As for shoes, that's really depends on your foot, your preference, etc. Maybe try on some cheap Specialized or Shimano shoes. I prefer SIDI shoes but haven't tried the low-end Sidis to be able to recommend them. It all comes down to what feels best on your feet. This is wear buying shoes from your LBS is invaluable. I wouldn't skimp on cost or comfort here.
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