If I get this pedal, which of one of these...
If I get this pedal, which of one of these do I need? http://www.backcountry.com/store/SHI0122/Shimano-America-SPD-Cleat-Sets.html
And will any 3 hole-road compatible shoes be able to take those cleats?
It is pretty standard for pedals to come with cleats.
Normal SPD cleats like the ones that would come with these would not go onto a 3 hole shoe, you need a 2 hole compatible shoe.
If you want new cleats get the 51s for road biking and get the 56s for mountain