I've used both Spd-sl's and Speedplay Zeros.

Pros of SPD-SL: Comfortable feel, tough as nails, get a good pedal @ a great price point, no adapter plate needed for cleat. Cleat is lightweight.
Cons of SPD-SL: Weight, slight chance at an accidental pull out, which isn't too often, one sided.

Pros of Speedplay Zeros: Light, minimal size, hard to pull out of, but can be done, really adjustable.
Cons of Speedplay Zeros: Expensive, cleats are $40(expensive for a cleat), that stupid adapter plate, uses a phillips head screwdriver for every adjustment, the metal used on the screws is fairly soft and if one screw strips, you have to cut the cleat off with a hacksaw, high up keep, have to have a bottle of dry lube on hand just for the cleats, extremely easy to slip and fall if you have to put a foot down or walk, I've slipped and fell on damp surfaces 3 times when I ran speedplays.