Some valuable info Kedosto posted. I went thru the newb clipless exercise a few weeks ago at REI. Ended up with Shimano SPD ED500 with the SH56 cleats. Very pleased with the results and would do the same again.
I initially purchased Spd-SL pedals. By coincidence a friend was just starting out on these before I tried mine. That convinced me to exchange them for the SPD.
They all work. Good riding either path you decide to take.

edit: the ED500 pedal comes with the SH56 cleats so you do not have to buy those separately.