I ride a specialized allez too !! - Fantastic bike !

I have the shimano R535 pedals, which are SPD pedals as well
I like them a lot
you will have no problems with any pair of pedals fitting it; they will all screw right in
try Nashbar.com for the best deals
also ebay always has a ton of pedals
if these are your first set of clipless make sure that the pedals come with cleats
when I got my allez last year, I got a great deal on the pedals because they pulled them off a different bike that another guy bought and he didnt want the pedals, however they didnt give me the cleats and I had to wait like 3 weeks before the store finally got them in - so I had to ride on platforms which sucked !
also dont ride in heavy traffic the first few times you ride with the clipless pedals, again I made the mistake of darting out into pittsburgh streets the second I got the cleats because I was so excited, and sure enough I tipped over in traffic having no experience with clipless pedals, so take it easy for one or two rides until you are real comfortable getting in and out of them

the R535s as well as the R540s are not super high performance nor extremely light weight; but they are super durable and easy to adjust and dont need much maintance so I highly recommend them as a start out pair of pedals

I am a proud owner of a 2005 Specialized Allez Elite Triple also.

**I second NateDawg's comment about taking it easy the first few rides. I would practice clipping in and out standing still after a few times then try it while moving. I usually just unclip one leg at a light. Another thing DON'T FORGET you're CLIPPED in I had a couple of close calls stopping at a light trying to stop and I couldn't get my foot out so plan to stop ahead of time if you can.

I have the Look PP396 pedals on my bike it's probably not the lightest pedals around but I like it. I chose the Diadora Geko for shoes the main reason is because that's what my LBS had and I didn't like the other shoes with three straps I thought it might take too much time during transitions. I didn't really feel much of a difference between the three strap and two strap plus the Geko was around 70 bucks.

After searching around online for reviews on the Specialized Allez I came across a numerous reviews that the brake pads wear out pretty quick on the bike. Some people suggested the pads by Kool Stop but I've never tried them. After a few rides I do noticed that the pads are going pretty quick but I also live in the Bronx so there's a lot of stop and go before I hit a bike path.

I would also suggest carrying a spare inner tube or patch kit and small pump with you. My second ride on the bike I was planning to do a 40 miles ride. Two miles from home on the way back I got a flat having never changed the tire before my friend called his father to come pick us up. When I got home I tried patching the hole and that took me around half hour. Next time out on a 32 miles ride on the way back I was loosing air I managed to find a bike shop and had them put more air in it. When I got home I just replaced the inner tube with the new one. It was only 7 bucks for a new inner tube it thought it was worth it. One thing I did do is checking the outer tire making sure there's no sharp object stuck in that would puncture the new inner tube and I patched the inside of the outer tired just so that other things couldn't get inside.

That's just my 2 cents

I'm sorry that you like the Yankees.

If you're in the Bronx/NYC/Brooklyn/Queens area I'm always looking for someone to ride with that goes for everyone out there.......

Good luck!!!!!!!

Kool Stop are pretty good. For training, I have the Jagwire pads.
Heh... I fell off while clipped in once, when I had SPD pedals. There wasn't a stoplight (rural area), just a four-way stop... the best part was that I fell to my right, where there was this huge ditch... I snapped out on the way down and left my bike at the top of the ditch, while I slid to the bottom.