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There are many competing clipless pedals. Those for mountain bikes work with a design of shoe that allows the cleat to be recessed in the sole allowing you to walk around comfortably. The best known are SPD pedals made by Shimano; as well as the easy walking the other big advantage is that they are double sided so clipping in is easy - good for city riders and commuters. These shoes and pedals are quite heavy.
Pedals for road bikes vary more but are generally one sided, a little less easy for clipping in but give a good flat platform for power transfer. They are usually lighter than MTB shoes/pedals. Popular types are Shimano and Look Keo but there are many others. The cleats project from the bottoms of the shoes meaning that you walk around on your heels and risk slipping on smooth surfaces. Some cleat and shoe combinations are downright dangerous if you are prone to turning your ankles over.
If you are getting into cycling you need to find a good local bike shop and make friends with the staff. Choose a quiet time then ask them to show you the different types and explain the advantages of each. As you learn more about cycling you can continue to buy from the shop but save a few bob from time to time by buying online from
Wiggle and
Chain Reaction Cycles, the two best-known online sellers.