aggro_jo: I also use SPD SL cleats w/Ultegra 6620 road pedals on by road bikes. I wanted something that would give me as good pedaling for my touring rig, so found
A520 Shimano SPD pedals, and bought a few different shoes before settling on Lake MX101 OR Shimano AM50. The Lakes are low cut w/laces--only less than ideal aspect is the cleats are not recessed enough to completely clear when walking. The AM50s have enough recess, have Velcro closure, are a little higher on the ankle, but in my size, they are a little narrow. I have a shoe stretcher in them right now, and if that works, they will be my choice.
The A520 pedals have a very similar length/width to the 6620's, so give good support (no 'hot foot' issues). If you want the option of using non-clipless shoes on occasion, the A530 has an SPD on one side, with a platform on the other.