My first consideration is always the single- or double-sided issue. How will you be using the bike? For my rain/night bike, for instance, I go with Shimano's SPD double-sided pedals to facilitate no-look (or no-see) clip-in. My mountain bike has double-sided Time ATACs for the same reason (plus the ATACs shed mud well). My "fast" road bike, on the other hand, has single-sided pedals from Look. In part, I guess I'm just going along with conventionafter all, pros all ride with single-sided pedals. But, such pedals usually have a bigger contact area, so can be slightly more comfortable on long rides. I don't agonize too much over weight; I want security and comfort first, with weight a secondary consideration.
As a general rule, pedal specialists tend to be more popular than pedals offered as part of a "gruppo" (i.e., Shimano pedals with Shimano components). Look and Time have been the market leaders for a long time. Both make excellent, sturdy pedals that are slightly heavy but comfortable and extremely secure. Time has introduced a redesigned pedal called the Impact, which comes in several models, starting at $180 (www.timesportusa.com). It has a low-profile design (meaning you don't have a lot of cleat between you and the pedal) and you can adjust that distance, called the Q-factor, if you wish. It also has adjustable release angle and pedal float. Look invented the clipless pedal in 1984 and still makes great ones. I like their streamlined design, plus the big, very secure pedal cleat. The new A5.1 ($170; www.lookcyclesusa.com) is a great mid-range pedal. Shimano's Ultegra pedal ($130; www.shimano.com) is another good one, although I'd first get a Look or Time pedal.