Shimano SPD pedal PD-M535
(with funny green bits)
(Just in case you've been in a cave for the last decade, clipless pedals require you to screw a metal or plastic "cleat" to the bottom of your shoes, which have been specially designed for this. These cleats attach to special receptors on the pedal. You usually have to twist your foot to get your feet unattached from the pedals.)
I have had clipless pedals (SPD or SPD-compatible ones) on my touring bike since the autumn of 1994, and I installed them on all my other bikes the summer of 1997. Yes, I'm a big fan. Here are the reasons why.
Clipless pedals allow you to perfect your spin. To pedal your bike most efficiently, you need to apply pressure more smoothly around the pedal stroke instead of just pushing down. The best way to do this is to pull back on the pedals at the bottom of the stroke. If you do this with toe clips, unless you've got them dangerously tight, you'll often come out of the toe clips.
Clipless pedals allow you to get quickly attached to the pedals, epecially if you get SPD-style pedals that have attachment mechanisms on both side of the pedal. With these you can often get attached just by stomping on the pedal. If this doesn't work, wiggling your foot around a bit is sufficient to get it on. This is most useful for commuting in traffic and for mountain biking. For commuting, you want to get attached to your pedals as quickly as possible after the light turns green, so you can accelerate better and have better control of your bike. When you're starting from a stop on a mountain bike, especially going uphill, sometimes you're going too slowly to pause to flip a pedal with toe clips around. So you end up going up the hill with your foot on the (usualy somewhat slippery) underside of your pedal, with the clip often dragging the ground.
Clipless pedals give you much more control of the bike, especially off-road. If you have toe clips you have to keep them reasonably loose so you can get out quickly. But then you sometimes get jolted out of them on rough terrain. With clipless pedals your feet are attached much more securely, and your feet rarely come out when you don't want them to. Yet, once you get used to rotating your heels out to release them, you come out easily when you want to. Also, when you crash you naturally come out. At least, I do. You do hear of a few cases where people found themselves still attached to the bike after a crash, but these are rare. Generally, during a crash your body naturally twists itself sufficiently to release you.
Another reason to go clipless: winter riding. One way to keep your feet warm on rides of 40 degrees F (~5C) or below is to wear neoprene booties. But the booties don't fit into toe clips very well. You can stuff them in, but it cuts off your circulation, which results in very cold feet. With clipless pedals, you cut a little hole out of the sole of your booties, and then you clip on just as well as before. It really does make a difference. Before, my toes would get dangerously cold. Now I can ride in weather down to freezing, and my feet are plenty warm with the booties (coupled with fleece socks under my shoes). If I add some chemical heating pads in the toes my toes will be warm in any weather. Once I was out in 24F degree (-5C) weather, with wind chills to 0F (-15C) or so, and my feet were fine. (Check out other cold-weather riding tips here).
The biggest problem with SPD-compatible pedals on the road is foot pain. The area of contact on the SPDs is smaller than LOOK-type clipless pedals, and much smaller than with toe clips. Unless you have very stiff shoes to distribute the pressure, it can cause you real pain on longer rides. A good portion of my friends who have SPD-compatible pedals have had this problem, and I do to some degree as well. Happily the problem is easily curable by getting new, better shoes. Unfortunately, these better shoes cost alot more. So if you get cheap SPD-compatible shoes, be warned that you may soon have to shell out more for better shoes later. If you think you'll be doing longer rides (maybe 40 miles or more) it's best to get good stiff shoes to begin with. If you're unsure about how stiff the shoes need to be, talk to the people in the shop and mention that you're worried about foot pain, and they'll steer you clear of the flexible ones.
The biggest problem with SPD-compatible pedals off-road is mud. Whenever you stop, try to put your foot down on a grassy area, and whipe your feet off on the grass before you get back on the bike. This works reasonably well to keep them from getting too packed with mud. But sometimes you have to put you foot down in mud, so it help to keep a stick or some keys handy to clean the mud off your cleats if it gets jammed up.
SPD stands for Shimano Pedalling Dynamics, so only Shimano makes proper SPD pedals. At the top of the page is a picture of the most popular Shimano pedal. They make other ones, more expensive ones and ones with cages around them, but this one is reasonably priced and works well, so most people go for this. SPD-type pedals have the advantage that the cleats are small and fit into a little pocket in the bottom of your shoes, and the tread of the shoes extends a bit beyond the cleat, so you can walk reasonably normally in the shoes. Also, they usually have attachment mechanisms on both sides of the pedal, making it very easy to get your shoe clipped into the pedal. These types of pedals are used by commuters, mountain bikers, and touring-type road riders.
There are many companies that make pedals with a very similar mechanism (for example, VP and Ritchey). Some people think that these SPD-clones aren't as good as the originals, a few people think that they are better. Often they are less expensive than the real Shimano versions.
There are some pedals that use the same general idea as SPD pedals (small cleat that fits in a pocket in your shoe), but have entirely different shaped cleats and entirely different sorts of release mechanisms in the pedals. These pedals include Speedplay (which have loads of float, see below) and Time ATAC (which are said to be better in mud than SPD pedals).
Road riders who are interested only in speed tend to go for pedals with a very different sort of cleat and pedal. Generally, the cleats are much larger and the soles of the shoes are flat, so you can hardly walk in them at all. They also take more time to get attached to as the pedals have the attachment mechanism only on one side. You have to swing the pedal around with yout foot before you can clip in. Supposedly they are more efficient, but as I have never used them I can't say much about them. There must be something to the claim, since they are very popular with road racers. The company best known for these types of pedals is LOOK, so the pedals are often known as LOOK-type (as opposed to SPD-type).
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Float means this: when you have your foot attached to the pedal, you can rotate your shoes a bit with little resistance. Of course, if you rotate far enough, you'll release the pedals. A moderate amount of float is good for your knees, as it allows your feet to turn a bit as you pedal, which they tend to do naturally. Most SPD-type pedals today come with something like 5 degrees of float, which is certainly enough for me. With LOOK-type pedals, you use different cleats to give you different amounts of float. For example, with proper LOOK pedals, the black cleats have no float but the red ones have 7 degrees.
Want more info? Chain Reaction Bicycles in California has a similar article to this. If you didn't find what you wanted here, you might find it there.