How do i choose the right clip on shoe or pedal and where can i purchase these items?

Im a weekend Mountain biker who wants to move up to clip on pedals,but don't know where to purchase them. Does the shoe come with the clip? or does the pedal come with the shoe clip or do i have to purchase all 3 items separately? Is there places where they have a combo deal? I live in the San Fernando area (Sylmar). Thanks.