I have Shimano SPD's on my mtn bike and Speedplay on my road bike. I like the SPD's for the mtn bike because they're easy to get in and out of and they are decent with the mud. On the road bike I have Speedplays. I prefer them because they allow a greater deal of "float" in them (I have one bad knee and need that one to have a greater range of motion). They are nearly the same in price, so I guess it's just a matter of preference.
Have fun!!