The pedals are called "clipless", something a fair amount of people find odd, since the action of attaching to them is often called "clipping in". But they're called clipless to make a difference between them and the old "clip-and-strap" pedals.
There are a few things to consider.
The 3-bolt "road" cleat usually requires a shoe that's a little tricky to walk in. They have the advantage of spreading the pressure of your weight on the pedal over a larger area, making "hot spots" on the bottom of your feet rarer.
The 2-bolt "mountain" cleat attaches to shoes that are easier to walk in, some even are made like hiking shoes. They are smaller, thus the "hot spot", a small area of the foot carrying a lot of pressure at times. I've personally had very little problem with that over the last 6+ years. Since I'm more familiar with the mountain cleat, I'll elaborate on them.
There are just a few main styles: the Shimano SPD, The Crank Brothers Eggbeater/Candy, and the Time ATAC. I have the latter, changed from the SPD 3-1/2 years ago. The Times have been flawless for me, I've never fallen over while clipped in, and they've never accidentally released, as others can. The SPD has adjustable spring tension, to hold more securely or to release more easily. The Eggbeater style is similar to the ATAC, but lighter and simpler. Some have said less durable, as well.
I have found that the "clipped-in" feeling enhances my riding experience; my feet are an additional point of feedback for the bike's performance -- I feel more of the riding experience, PART of the bike instead of merely ON it.
Hope this helps.