The process of choosing the best women's cycling shoes is not very different from choosing a pair of street shoes that fit well, though you will need to look for other, cycling-specific features that will make the shoe worth the cost. First, decide what type of riding you will be doing. A pair of road cycling shoes will be very different from mountain bike shoes, which can be very different from casual biking shoes. Take note of whether you intend to use clipless pedals now or in the future, or if you will be using flat pedals with or without toe clips, as this will affect your choice of women's cycling shoes.
Once you have determined what kind of riding you will be doing, it is best to visit a local bike shop to discuss the shoes, even if you do not plan on buying them from the shop. The bike shop employees can educate you about the pros and cons of certain types of shoes and features, and you will be able to try on certain shoes to get a sense of what they should feel like. Your local bike shop can also install clipless pedal cleats properly on your women's cycling shoes should you choose to buy the shoes from the shop, which is a more difficult task than it may sound.
If you are considering road shoes, look for women's cycling shoes with an extremely rigid sole. Many high end shoes feature carbon soles that eliminate any excess flex in the shoe, ensuring most of your pedaling power goes to the bike rather than to a flexing shoe. Carbon can be expensive, so if you are on a budget, look for the most rigid plastic sole you can find. Mountain bike shoes also sometimes feature carbon soles, though the carbon is often covered with a softer rubber sole for traction. In either case, look for an extremely rigid shoe, unless you plan on walking around a significant amount on your bike rides.
Consider the securing methods of each of the women's cycling shoes you are considering. Some feature laces, though these can get caught around the pedal during regular pedaling, leading to a dangerous and frustrating situation. Hook and loop straps are quick and easy to use, especially for triathletes. Some shoes feature one or two hook and loop straps as well as one ratcheting buckle, which is great for mountain bikers or road cyclists who do not need to remove the shoes quickly for any reason.