Clipless are like ski bindings for the bike. You essentially step into a mechanism on pedal (typically) that helps hold your shoe to the pedal. This typically gives more control of the bike to the rider and allows for more power to be transfered as you can get power on the upstroke as well as the downstroke.

Personally, I love riding with the clipless and don't like riding without them. They make me feel connected to the bike. Also, as long as you don't crank down the tension, they're easy to get out of. It's part of the set-up though as you need to make sure you can sprint without comming out while being able to unclip if something happens.

My friend recommended riding with one leg clipped in at a time so that I could get used to the circular motion that the clipless allows. I believe this helped on many fronts. It helps with trying to get power out of the complete stroke and, with one leg out, it helped with confidence as I could quickly put one foot down if needed. Of course, I did look funny with one dangling off trying not to get hit by the crank/pedal.