All Peloton consumer bikes come with Look Delta pedals installed. If you need to purchase cleats (the gadget that goes on the bottom of your bike shoes to clip into the bike) to go with the bike, you want to purchase 3-bolt Look Delta Cleats.
You are of course welcome to change out your pedals to any other style that matches your preferences or existing shoes. Many people swap to SPD, or any other system. Changing your pedals on the Peloton will not void your warrant - besides, you can always swap them back if you need to!