The major thing stopping me trying them is finding a reasonably water-resistant cleatable shoe in a design able to be walked in (in case of mechanical failures, if wandering round a shop etc.) which are wide enough for my feet.
There's a couple of goretex lined shoes aimed at also being walking / light trekking shoes. MT60 and MT91 are two of them, they're not hugely cheap though.
Good general purpose shoes that are fairly discrete in terms of wearing to the pub or wherever and have a recessed cleat housing (2-bolt) so you don't sound like a panto horse also are Specialised Sonoma. Not waterproof by any stretch of the imagination but comfortable and a great compromise between cycling and walking.
I actually prefer my old Look shoes for cycling in, as ir really does feel like your feet are bolted directly to the crank, however they are ridiculously impracticle for anything beyong hobbling into a shop for a coffee or some more jelly babies. I located my second pair of look pedals on ebay from the bikestation, bargain at a tenner and hardly used. And in blue too!
EBC do their own SPD-compatible pedal and a half-and-half also that won't break the bank. I used the half-and-half for a year or so, it does the job. However as I never ended up not riding in a cleated shoe, it got a bit annoying having to spin the pedal around to find the side with the binding mechanism (it's a lot less intuitive than doing the same on a single sided pedal, as both sides "feel" the same underfoot). If you don't intend to use regular shoes at all then I'd recommend going for a 2-sided pedal. A lot less to think about when starting off from the lights.