SPD pedals, especially clones, are cheap. You can get them for $25 on sale (I got Forte's at Permormance). They work well enough for learning on, and you haven't spent a lot of money if you hate them. I now have a cheap pair on my commuter that I initially learned on. However, these do not shed mud well, and don't hold up to trail riding (there is one bolt that falls out and makes the spring stop working).

Real Shimano SPDs (I use PD 540s) were redesigned in the last year or so, and are now much better. They hold up really well, shed mud better (though probably not the best out there), and I really like that the tension is adjustable.

I have only used these two pairs of pedals, but friends use some others, so here is what I can tell you based on their experience:

Eggbeaters: make sure you DO NOT get the 2002 model. They fall apart really easily (whatever holds the pedal onto the spindle shears off). They were redesigned in 2003 to make them more rugged to solve this problem. They are pricey. The pedals come with the special cleats, which look a lot like spd cleats. They are not as adjustable as spds, but have two settings I think to adjust tension. They shed mud very well.

Time: my boyfriend swears by these. They do not have adjustable tension, but shed mud really well. They seem to last forever. He is using a set for 5 years, and he rides a lot.

Frogs: The pedal sheds mud, but the shoe doesn't. The spring is in the shoe cleat, and if you have to hike a bike at all, they get all cruddy. HOwever, if you have knee problems, these have the most float, and are supposed to be easiest on your knees.