do new bikes just not come with pedals?

Nope- you get to pick your own pedals.

You can buy nice clipless pedals for under $100. Look Keo Easy pedals are $69 and Shimano PD-R540 pedals are also about $69.

For new riders the Shimano PD-R540 is a very, very strong choice. I would not recommend two sided, "walkable" mountain bike style SPD pedals. They are heavier and the shoes that work with them do not transfer power to the bicycle drivetrain as effectively. Beginners frequently (mistakenly) buy and recommend SPD style "walkable" pedals to new riders as being "easier to use". They really aren't and they don't work as well for actual pedalling- which is what you bought pedals for in the first place- not walking.

Do spend what you need to on good shoes since shoes make a tremendous amount of difference in your comfort and performance. Good shoes start at about $90 and get to $150 very quickly. That's the bad news. The good news is, unlike running shoes, cycling shoes tend to last quite a while since we don't walk in them other than a couple steps here and there.

I recently wrote an article called "The Beginner's Guide to Clipless Pedals" that discusses the basics and dynamics of pedal and shoe use. You can find it by searching through my signature line.

"pick your own pedals" and "don't come with pedals" are two different things.  I'm assuming it's the latter?

Also, for an entry level guy wanting clipless pedals, what kind of price range are we talking for shoes + pedals?

Pedals usually do not come with the bike especailly the higher end you go. I couldn't really say at which pricepoint they do but more often than not they are simliar to saddles in that every person has a particular affinity to a specific brand.

Pedals to me are a very minor accesory on the bike and I am still running 2 sets of 10year old LOOK's. They work fine and have had no issues with them. I replace cleats every year and got one set new and bought another set of the same one used on ebay for $15 a couple of years ago. I just can't bring myself to spend a lot on pedals

In my experience it doesnt matter what you pay for your shoes as long as they are comfortable. I'm not saying that expensive shoes are not worth it, however if they dont hurt then the are keepers in my book. I have a friend who had $250 sidi road shoes but found out $100 specialized shoes felt better. I would suggest going to a bike shop to get shoes so you can try them on first. You can find killer deals online but if they dont fit you can end up with return shipping charges that make them not so good of deal.  

As for pedals besides weight most pedals brands range in price from $50 and up. I use speedplay zero's they cost about $100.  I like that they are two sided entry like my MTB pedals. However thay can be hard to get you foot to release, you have to oil them from time to time. But i have never tried one sided road bike pedals suck as "Look" style pedals.

just my .02   

People are pretty picky about their pedals, which is why they are typically not included with a new bike.  Between choices of Shimano, Look, Speedplay etc, manufacturers just decided to let the consumer pick after he bought the bike.  They should probably do the same thing with the saddle too since that's the first thing that is replaced on a new bike.

Decent entry level pedals are about $100 or so, same with shoes.  Of course my opinion is to only buy Sidi, which may cost a few more bucks

Right--"don't come with pedals". There are just so many different types, it wouldn't make sense for them to put pedals on that won't work for most riders. Much of the time you already have pedals from a previous bike anyway.

Huge difference in price range. I got setup with shoes and pedals from Nashbar for about $100 total, but can spend several times that much.

This is one of those "how much do you want to spend?" questions.
You can get away with buying used from Craigslist or eBay or BT classifieds for very cheap if you wanted or needed to.

But if you're going into your local bike shop, I would recommend reserving $200-$300 for entry level pedals + shoes. At least that's what I spent on Speedplays + Pearl Izumi tri shoes - both fairly entry level. 

Pedals + shoes can cost a few hundred bucks all said and done.  You might try local craigs list for used pedals and/or shoes.  I bought an entry level road bike (Marin) a few years ago and it came with pedals but they were flats with cages so I had to purchase the clipless type.   Funny how they're call clipless even though you "clip" in.

When you buy pedals they have the cleats that you install on your bike shoes.  Nashbars got some for $40.

http://www.nashbar.com/bikes/Product_10053_10052_506076_-1_202630_10000_202531#ReviewHeader

x2

I'm glad that mid/high level bikes don't come with pedals.  Probably saves me $10 for something I would never use.

I wish bikes would also not come with front, rear, and wheel reflectors since I take all of those off and don't use them as well...but something tells me that bike manufacturers will not package a bike without them to prevent a possible lawsuit should someone get hit at night.