I just made the switch this weekend, adding some MKS quick release Cube pedals to my Dahon folder. (They're "quick release" in the sense that the pedals come off the bike easily, not that your foot comes out of them easily.) The MKS pedals have their own cleats, but the cleats work with any SPD-compatible shoe.

I found it to be a pretty easy adjustment to make. I put the hardware together Friday night and then spent an hour straddling my bike in the living room, practicing putting each foot in and out of the pedal. I was worried that I would have to be extremely precise about how I put my foot down, but with the tension in the pedal loosened up I found it pretty easy to get my foot in. Getting out just required a little foot twist.

Saturday I hit the road (really a combination of road and multi-use trail) with the pedals. I definitely noticed the difference in my riding -- my speed was up, hills were easier to climb, and I was working muscles that haven't been used so much in the past. My big fear was falling, and I did fall twice. The first time was on a rough patch of road where my water bottle bounced off the bike. I stopped suddenly to get it and forgot to release my foot. The second time was near the end of the ride -- I approached a light, released my right foot in preparation for the stop, and then found myself leaning to the left when I actually did stop. The thing about the falling is that you only fall when you've already stopped, so it's a pretty gentle fall. I was embarassed, but not hurt. (It helps that I was wearing tights for the cold -- otherwise I might have gotten a scrape). I know that as I get more used to the pedals, these kinds of falls won't happen (or will happen only very rarely).

In sum, it was not hard for me to get used to them and I noticed a definite benefit.

(And on the shoes -- with the mountain bike style shoes, there's enough rubber tread on both sides of the cleat that you can walk around without going "click-clack" and without worrying about damaging someone's floor.)