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This answer mentions that Shimano makes two kinds of SPD cleats, one that allows unidirectional release (SH51) and one multidirectional (SH56).

Are there other differences between the two? Will both types work with all SPD-compatible pedals? Are there reasons to prefer unidirectional release over multidirectional release?

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Yes, all SPD pedals are compatible with both of these cleats. The multi-directional release SH-56 will allow you to pull out of the pedal vertically if it is required. They are designed for spin bikes. (Exercise use.)

The difference is a preference only, because it depends what you intend to use them for. I will not use the SH-56 on the road because I have pulled out of the pedal during normal riding, and offroad has similar issues.

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I find the "SPD pedals" nomenclature confusing, since, as I understand it, there are two different incompatible versions -- the "road" version which is a platform and the more familiar "mountain" version. My understanding has been that they don't use the same cleats. –  Daniel R Hicks Sep 3 '11 at 12:24
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@Daniel R Hicks - 'SPD' and 'SPD-SL' - where the 'SL' is the Look style road cleat. Took me a while to understand the different types too! –  ʍǝɥʇɐɯ Sep 3 '11 at 14:00
    
Being used to SH51 I (wrongly) got a pair of SH56 and changed them back to SH51. They released unexpectedly doing MTB, road cycling and spinning/hot cycling leaving me in quite dangerous situations. I'd only recommend SH56 for light pedalling and someone not being used to SH51. –  Narcís Calvet Sep 6 '11 at 8:04

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