Well, I started with a friend's Wellgo SPD road pedals, which I used for my first 3-4 months of serious Road riding, along with Shimano M087 shoes (2-hole, MTB shoes). I'm pretty sure the SPD design itself is bombproof, but I wouldn't recommend it -- it's such a tiny contact area that clipping in is not the nicest experience.

I think the typical SPD-SL Shimano or LOOK pedals will be what I stick with, now that I have 3-hole road shoes, but I hope some others will chime in on their experiences...