As others said, I'd suggest pedals with pins. I wear Chrome Kursk's (shoes) and use (Edit) Specialized Bennies for pedals.

For something cheaper VP Components VP-Vice Pedals are good to:
http://www.amazon.com/VP-Components-.../dp/B006ZH1H7M


Regarding clipless vs cage, I would personally never do cage. They're the worst option for being able to get your foot out in an emergency - worse than flats obviously, but worse than clipless as well. I wouldn't recommend cages to anyone - either go with flats with pins, or go with clipless, I really really don't like cages for safety reasons.