There are tons of different clipless pedal systems on the market. Are you talking about pedals that are specific to the road or the mountain? Road pedals are often one-sided and shaped differently than the standard mountain pedal. They also require different cleats than what you would use on a mountain pedal. There are some exception, such as the eggbeaters. Mountain pedals can be used on the road. I run Shimano SPD's on both my new road bike and my mountain bike so that I can use the same shoes for the time being. When I get the money, I'll get a nice pair of road pedals and shoes, but the SPD's work fine on the road bike for now.
You mentioned SPD, so I'l assume you are looking at something for the mountain bike. SPD's range in price from something like $30 to over $100. SPD's are popular because they are easy to maintain and learn how to clip in with. They offer adjustment of the retention of the jaws, so you decide how easy or hard it is to unclip. I don't know a whole lot about road pedals, so I'll let someone with more road biking experience answer that one. Some of the big companies in the mountain bike clipless business are Shimano (SPD system), Crank Brothers (eggbeaters), Time (Attacks), and Wellgo (Copy other manufacturer's designs and sell them cheaper, but you get what you pay for in most cases). I'd say the SPD's are the most common on the trails, at least from the riders I have met up with. I run SPD's on both my mountain and road bike to simplify switching over. SPD stands for "Shimano Pedaling Dynamics." I refers to the cleat/jaw system that locks the shoe to the pedal. Most all clipless shoes meant for mountain biking will be compatible with SPD cleats. Some might require a little trimming of the tread to allow for clearance for the pedal system - no big deal. SPD-R is Shimano's road clipless system. It entails different shaped pedals and a different cleat design.
Crank Brothers recently (ok not so recently now) came out with a clipless pedal system that they call eggbeaters. These are unique in the way that they are open to being clipped in on four sides instead of two like other mountain clipless systems. Their openness allows for great mud clearance will clipping in. It takes some time to get used to because you can't simply push your foot forward like SPD's, but a person I ride with likes them better than anything else he has used. The same eggbeater pedals are popular on the road and the mountain. Crank Brothers makes a small rubber device to keep the cleats from clicking while walking with road shoes.
I don't have much experience with the Attacks, though I've heard many people like them and have had good success with them. I'm sure someone here can comment on them, and you can check out
www.mtbr.com for reviews. They use a different cleat than do the SPD's and the eggbeaters.
Speedplay also has a pedal line worth looking at. These are unique because they allow the rider to adjust for lots of float. Got knee problems? You might want to check these out. They look cool too.
You will want to look for certain things when buying any clipless brand. The first is how important weight is to you. Some clipless systems might feel heavy when holding them in your hand, but will stand up to anything on the trail. Remember, these things will be bashed of rocks, roots, and be one of the first things to hit the ground in some falls. I would stay away from the clipless pedals that come with a platform pedal on one side and a clipless system on the other because the plastic pedal will snap off in no time with some trail riding. You'll also want to look at mud clearance. Does it look like mud will fall through or be easily cleared by the shoe and cleat in muddy conditions?Any pedal could clog with the heaviest of muck, but it's nice to be able to get a solid clip-in in muddy conditions, especially if you plan on racing. A larger metal platform around the jaws will provide you with a larger place to rest your foot if you have to negotiate a section unclipped (an example would be Shimano's 536's compared to its 515's.) You also need to look at price. You usually get what you pay for. $70+ is worth it for some nice clipless pedals, but doesn't mean you would find a nice pair for less somewhere. I haven't had good experience with Wellgo's pedals.
*Not positive, but I don't think Times or Eggbeaters have retention screw adjutments, meaning the pedal is set at one point for good as to how difficult it is to unclip. Please correct me if I am wrong on this point.
When buying shoes, make sure they are compatible with the clipless system you chose. Most should be, but it doesn't hure to make sure. As for shoes, I found Specialized body Geometry shoes to be extremely uncomfortable on longer or intense rides. I picked up a pair of nice Shimanos this year and haven't had any problems over several longer rides with intense pedaling efforts.
phew....I'm done but I'm sure thats not everything...If you are looking for something for the road, then some of this doesn't apply. I'll let someone who does more road riding explain the systems, though much of the info could still apply.
You might also want to search the forums for topics about clipless systems. There have been countless questions about which is the best and how to practice with them so that it becomes second nature to clip in and out. Clipless pedals, in my opinion, are pretty much the single most important uprade to make to your bike. You will notice a big improvement in your riding with a nice set of clipless pedals.
-Moab