Hi,
There is tons of info online about getting into clipless. I'm certainly no expert, but here are some answers to your immediate questions:
1) They do make you more efficient and faster - they allow you to transfer power through the upstroke of each leg, and so you get more out of every revolution. (The reason I'm re-dedicating myself to learning clipless, after flaking out once before, is that I did a long charity ride without them, and everybody dusted me.) Also, you can get a smoother spin as opposed to "mashing."
2) Yes, many styles. Also many prices. People will have a lot of different advice here. The advice I have received, and am taking for now, is to start out on Shimano SPD-style with multidirectional release cleats, and set the tension extremely low so that I can unclip easily. The multidirectional cleat is key to getting out more easily - there are many angles that will release your foot. However, there will be a downside to getting out so easily - also increases the risk of unclipping accidentally. Another reason I'm choosing Shimano is that I got the MTB kind that has a plastic resin cage around it for a larger platform - if I need to temporarily go back to not using the clipless, I can do so easily. I am viewing this as my beginner pedal, and I can definitely see myself upgrading to a better clipless pedal in the future. Both my LBS and tons of folks recommend Speedplay, and many say that's fine for beginners as well. It's considerably more expensive, however, so I'm more comfortable starting out with the Shimano first.
3) The differences among styles that seem most important to me as a beginner are the following:
One-sided or two-sided pedals: My first failed attempt was on one-sided Look pedals that came with my old road bike. I think two is the way to go for beginners.
Multidirectional release or not. If it's a single direction release, this means you must move your heel outward to release. Multidirectional, there are other directions that will release. As mentioned earlier, there is a tradeoff here, but when you're just getting started, you want to get out easily!
Float: How much your foot can rotate while still staying clipped in. More float is gentler on your knees, because if your foot is stuck in one position, your knee will get the pressure if your foot wants to twist. High degree of float is the reason Speedplays are so popular.
Recessed cleats or not: Many road pedals have cleats that stick out of the soles of your shoes, and they get beat up if you walk on them. Some cleats are so large that you really can't walk on them. Many MTB-style pedals have cleats that are recessed in the sole of your shoe. So this choice comes down to how important it is for you to be able to walk normally while wearing cleats.
Well, that's my perspective as someone who has tried clipless before, failed, suffered the consequences, and is now going back into it better informed!