I have SPDs, they are the only ones I've used and I like 'em and I like the shoes that I got with them that I can also walk in, as I use my bike for errands.

Two tips that were given to me that I think are worth passing on: when you buy your shoes and SPDs/eggbeaters/whatever, ask for your bike to be put on a trainer in the LBS and practice clipping and unclipping for a while. Second tip: I am glad that I got in the habit of always unclipping my left foot; no thinking, just unclip that foot. I leave my right foot clipped as that is my stronger leg to push down on the pedal when I start off.