Well, probably everyone has a different opinion on this, so as soon as I post this ten people will probably beg to differ!
Because I have a mountainbike, a hack and a race bike, I use Crank Bros Candys on all 3 bikes. The Candy's are the 'Eggbeater' pedals with a small plastic platform to spread the load and help you to find the pedal before it clicks in. I chose them because they work well in mud, are small and neat, and are (IMO) very easy to get in and out of, whilst still allowing enough lateral float such that it doesn't aggravate my slightly sensitive knee. Plus because they're originally intended for off-road use, the cleats are recessed which makes walking a whole lot easier and doesn't knacker the cleats. You can dip your toe in (pardon the pun) by buying a cheap pair of mtb shoes (assuming you don't have some) and some Crank Bros Smarties (cheaper but not rebuildable).
I used to ride traditional toe clips and actually found that they were sometimes harder to get out of than clipless. Also they didn't give that extra connection that gives you the extra efficiency. So for me, changing over to clipless was great. It takes a little perseverance initially but soon becomes 2nd nature. I've had Shimano SPDs too, and didn't find them quite as easy (or as good in mud) as the Crank Bros design. However, I'm not saying that they're perfect, and some may recoil in horror at the idea of a MTB pedal on a road bike. For me though, it means one pair of shoes for all my bikes, and they're easy enough to get in and out of for riding in slimy mud, so on road they're just fine, even if I could shave a quarter of a nanosecond off my London to Brighton time by having 'proper' road pedals!
http://www.highonbik...mtb-pedals.html
Not everyone likes them though, and the Smartys are a bit plasticky. I think they've discontinued them but the Candys are very similar, just better made and more expensive.