I used to ride Ultegra SPD-SLs but ended up with sore knees. Switched to Speedplay Zeros with their friction-free float and the knee pain went away; love 'em! I have a set on both the training bike and the race bike. I'm building up a "best-bang-for-buck" bike next week for a friend, and putting Speedplays on that build as well. At $150 they're a bit more $ than Ultegras, but to avoid knee pain, that's a place I won't skimp. Lot's to like about them: friction-free float adjustable from 0-15 degrees, double sided entry, effortless release without pre-release, etc. There's a reason they never have put them on sale.
Cheers! - RJ