I went to a clipless system this year (Sidi shoes and Speedplay Zero pedals) and I love it. It cost a lot but was worth it, for sure.
What I like the most is that my feet can't slip off of the pedal, which is easy to have happen when riding on flat pedals, especially in wet weather or while climbing.
The Speedplay Zero pedals let you rotate your foot (up to 15 degrees I believe, and is user-set from 0 - 15 degrees of rotation before the cleat dis-engages the pedal), so it's not exactly "locked down", while still preventing forward/back movement to keep your foot positioned perfectly on the pedal for maximum efficiency and comfort.
They may not be worth it if you do a lot of stopping, walking around, etc, for for longer riders they are certainly nice to have.