I ride the shimano SPD pedals because they're cheap and I've got them. The set up works fine for the most part in mud and I can walk in the mountain bike shoes with the cleats on them. Good enough for now, though I do plan to move over to Crank Brothers eventually. At that point I'll probably go with either the Candy SL and/or the basic egg beater for the light bikes. Curious to see what the platform-less pedal will feel like but from those I've talked to that ride them it shouldn't be an issue.
On the road it's been the Speedplay Chromoly pedals from the X series. Nothing special but they came highly recommended by mutliple teammates, they were relatively affordable and they've been pretty bomb proof to this point. I like the float they allow and feel like they provide a solid platform and connection to the pedal. A solid pedal for an affordable price. I see no need for upgrading though if I did Speedplay has got the goods.