Sheldon Brown (RIP) is a great resource to learn about all parts of your bike:
http://www.sheldonbrown.com/gloss_p.html#pedal
A quick answer is that there's plain/clipped pedals, and clipless pedals. Clipless pedals have cleats that lock you in, which attach to a special shoe. Clipped/plain pedals are like 'street' pedals, but there are quite a few who prefer them. I have both and often swap depending on the ride or the mood.
Shimano also makes a couple hybrid pedals that are clipless on one side and plain on the other, so they can be flipped and ridden both ways.
The best thing to do is find a good local independent bike store near you. The single-brand and big stores are good for deals, but they're hard to learn about what you really need, and can often cost you money in the long run if you don't know what you're getting.
When you know what you need, you can try some websites such as nashbar.com or performancebike.com for clipless pedals. or velo-orange.com for plain pedals.
Hope this helps
