does this pedal come with the associated cleat as well? I have shoes, but the cleatz I have now will not be compatible with this pedal.

Yes they do. I just bought the Shimano Ultegra SL which is the next model up from this one and it came with cleats. Since I'm a road bike newb I also wasn't sure if the pedals came with the cleats and ordered some cleats separately which I now have to return. Glad their return policy is top notch.

Backcountry - if you're reading these you need to add this info to the product descriptions.
View Details: Shimano America PD-R540 SPD-SL Road Bike Pedal >