I've used:

speedplay zero

speedplay frog

shimano spd

look

I currently run speedplay zero on my road bike. Zero's are very light, double sided and have the most free float of any pedals on the market. Your knee/legs can track in their natural direction. SPD's have spring tension which recenter your cleat, even though they have some "float."

Zero's are not as easy to clip out of as other pedal systems. Especially when the pedals are new. They gradually break in but are still a bit more challenging to clip in and out of.

The cleat is large so not ideal for walking, but I put rubber covers on the cleats, and actually have little problem walking around on the cleats for short distances.

Also they are not cheap. They start at around $130, but they are great for their light weight and knee protection.

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I've used and like the look pedal system a lot as well. You can get cleats that come with free float but not as much as the speedplay's. Also they are one sided, not two sided. Not quite as light as speedplay's either.

This is a terrific pedal system: you can buy "look style" pedals from nashbar and performance at a rock bottom price.

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I don't have many positive things to say about spd systems. They are very popular and inexpensive. I don't like spring centered "float," so if you want free float, stay away from spd's. Make CERTAIN your knee alignment is spot on. I injured myself with improper alignment and it took me a long time to recover fully.

They are relatively light, relatively inexpensive and double sided. But the lack of free float means I will not be a customer.

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As far as shoes, I have relatively wide feet, so the only brand that works for me is shimano. I bought a fantastic pair of shimano's with three straps at a rock bottom price (half off) which are wide enough for my feet!

I bought my speedplay zero's on clearance for I think $40 or $50 instead of $140. So my shoe/pedal system only cost me about $110 total. Retail around $260!

If you have wide feet, try shimano's. If you have narrow feet, a wider (no pun intended) range of cycling shoe brands is available to you.