If you can afford it, get footwear for each type of activity you regularly partipate in (i.e., running, tennis, cycling, walking, etc.)

Do your research! Athletic footwear is no longer inexpensive so look at sport related magazines (i.e., Runners World) that publish reviews of athletic footwear.

Ask the experts! You may pay a little more going to a specialized sports store, but if you are new to the activity they will probably lead you in the right direction.

Try on several different brands and styles of shoes. There can be a big difference between shoes of the same brand.