I had a lot of reservations about going clipless, but wouldn't switch back now. I went the "best of both worlds" route, in that I got nice SPD pedals, and Shimano SPD shoes that are more like road SPD SL shoes (firmness and light) but have SPD cleats (so you can easily walk in them). Also combined them with the multi release Shimano SM-SH56 cleats that are as easy to release as taking your foot off a pedal, but have never released without me doing it intentionally.
This combination is in my honest opinion the best starting point for anyone looking to test the water with clipless pedals, and whether your commuting in a busy city (I live in London!) or splicing the rural B roads up they WILL make you feel more connected to the bike and foot slippage is none existent now.
My main worry was in an incident the extra damage potentially caused by being so connected to the bike, but those multrelease cleats sorted that too, I had a high speed moment at 40.1 mph on a bend a few weeks ago, and pulled my legs outwards to help balance (in a kind of Basil Fawlty style) and without thinking the feet released from the pedals, just as I wanted, I stayed on the bike btw :P.