you want first of all the obvious things, reliability, durability and reasonable weight. Ease of clipping in, adjustability and ability to handle mud (probably not a problem for a roadie) should be factored in.
As far as I am concerned the best clipless pedal around is the stuff made by Crank Brothers. Crank brothers has variations of their pedal but all of them use the same mechanism. This pedal has few moving parts so little to go wrong. Do a search on this forum and bicycle product review websites and these have excellent reviews.

A combo deal like
http://www.pricepoint.com/detail/126...ome-Pedals.htm
is the best way to go to get started. Check out pricepoint.com for their other combo deals with crank brothers stuff, they have a decent amount with different shoe combos.