I planned to frame my son's first shoes! I figured it'd be a cool momento for me to frame up in his room when he's older. I haven't gotten any shoes yet but I'm looking to buy FreddieTheFrog shoes. It's pretty cheap and I can customized his name on the soles! www.freddiethefrogshoes.com
You can place them in a shadow box like Nooraini suggested with other keepsakes. I've also seen some people grow plants in the shoes. Not sure if it'll get too messy though. You could also reuse them as a door ornament or hang them along your baby's cot for decoration.
I never thought of keeping my babies' first shoes but this is really a cool idea. Maybe I will do it for baby no.3. I found one from internet where the shoes are putting together with baby's feet casting.
thanks