Clipless's primary purpose is keeping your foot connected to the pedal.

There's significant debate on whether clipless improves efficiency or not. A number of studies said it had no effect at all and did not improve efficiency. Others thought it had a slight affect on improving long distance fatigue. Other arguments are that they allow more power when sprinting or going uphill.

Just saying, it's not proven either way that efficiency is improved with clipless.

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Regarding the OP's question, mountain pedals have a number of advantages:
- 2 sided so you can easily clip in and out without looking down (on the second foot which is what's needed at intersections). Speedplay road pedals can also do this.
- A lot easier to walk around in, because they put tread beside the cleat on the shoe. Speedplays again have something you can put on the bottom of the cleat that's rubber that's somewhat similar. Problem for the OP is, this isn't an advantage if your shoes can fit road cleats.
- They handle muck very well. They're designed to be able to walk over dirt, grass, mud, and still function. Road cleats suck in comparison. My original speedplays couldn't walk over grass without clogging up. Newer speedplays are much better at this and they're fine if you're always just on the road - but mountain style still handles everything better. You step in a puddle of mud with road cleats you may not be able to clip in until you wash it off, whereas it's not a problem with mountain.

Road advantages:
- Probably slightly better at keeping your foot attached to the pedal when sprinting, high cadence, etc.

If the OP is sticking with road shoes, I'd go with speedplay light actions. You don't want to wear mountain cleats with road shoes, even if they do have the holes for them.

If the OP is buying new shoes, and not biking in the winter (in snow), I'd go with Shimano SPD's.

If the OP is buying new shoes and doing winter biking, I'd go with with Time Atac's. That's what I was using before flats.

Personally though, I've tried almost every clipless system, and went back to using flat shoes (Chrome Kursk's) with flat pedals with pins (Specialized Bennies). I had some issues with hotspot with clipless that I wasn't able to clear up despite fittings, new shoes, etc, plus my feet are a little wide. It's more convenient to be able to walk around off the bike with flat shoes, no constantly changing in and out of shoes. I don't race and didn't see myself really gaining anything from clipless.