What are Clipless Pedals, and why are the called that? Back in the old days (fairly recently), cyclists used clips and straps on their pedals, along with stiff soled shoes with cleats that located the shoe on the pedal, preventing fore and aft movement. To sprint or climb, the toe straps were pulled tight, enabling the rider to pull up on the pedals without pulling their foot off the pedal. However, having the straps tight is pretty uncomfortable, and they need to be undone before dismounting. Then Look adapted their ski bindings to design a pedal and cleat for cyclists which did away with the toeclip and strap, but fixed the shoe on the pedal with a cleat that prevented the shoe from pulling up off the pedal as well as preventing fore and aft movement. You disengaged from the pedal by twisting your foot out rather than pulling it out. This system was an instant success, offering the performance of a tight-pulled toe strap and clip, but without the discomfort and without the need to release the strap before dismounting. Because it got rid of the older clip and strap, that style of pedal was called clipless. So today, even though most pedals either have no foot retention system or have a binding that a cleat clips into, the ones that you clip into are called clipless.
Since Look's first clipless pedals, there have been much evolution in clipless pedal systems. They can currently be divided into two broad categories - road and mountain.
Road Shoes and Pedals. Designed for riding, and not for walking. Generally a larger cleat (sitting outboard of the shoe sole) that gives clear and positive feedback to the rider when the clip in or release from the pedal. Cyclists who waddle like ducks when the get off the bike are using road shoes and pedals.
Mountain Shoes and Pedals. Pioneered by Shimano, a mountainbike pedal uses a relatively small cleat, which is attached to the shoe in a recess in the sole, allowing the wearer to walk normally when off the bike. This is necessary when mountainbike riding as the bike can't be ridden over all terrain and barriers; the bike will sometimes have to be pushed or carried, and it's not easy scrabbling up a steep rocky slope on a pair of slick smooth nylon soles. Also it's pretty handy when commuting, shopping etc, being able to get off the bike and just walk normally without having to change shoes first. Some mountain shoes are designed for significant walking and leisurely riding, while others are designed for performance riding and little walking.