Get yourself a decent pair of shoes and clipless pedals, become 'one' with the bike, pedal more efficiently, no slipping off the pedals, getting used to clipping in and out is fairly straightforward, set the tension on the loosest setting untill you feel more confident, don't worry though most of us still have the odd clipless moment.
What sort of bike are you on? will you be wanting the Sh*m*n* spuds or look/time compatible cleat shoe pedal combination?
I have a couple of pairs of SiDi shoes, winter and summer wear, and Look Keo pedals, sprints on the best bike and classics on the winter hack.
If you are intending on walking as part of a daily communute, then go for the Sh*m*n* SPD's as the cleats are recessed into the sole of the shoe, making it easy to walk, whereas Look/Time are bolted to the sole and stick out, you can get 'cafe covers' which protect the cleat when walking, but they aren't really designed with walking in mind.