I prefer the Shimano 105 pedals over the Look Keos at a similar pricepoint. I like the aluminum construction of the 105s and in my opion the cleats (the part that attaches to your shoe) that shimano uses are superior. The cleats last a long time and they are easy to walk in.
Most of the local bike shops should have them in stock, but I prefer Schlegel bikes. They also have a pretty wide selection of shoes for you to try on. Just like any other type of shoe, sizing changes from brand to brand and even from model to model. If you order a shoe online, there is no guarentee that you will like the fit. If you are focusing on triathlon/duathlon you may consider a tri-specific shoe. These are easier to get in and out of because they typically just have one wide velcro strap to hold your foot in instead of laces or buckles.
As far as power increase goes, it depends on the person. On flat terrain you might not notice a big difference, but when accelerating or climbing you probably will because you can apply power when you pull up on the pedal in addition to when you just push down. Clipless are more comfortable in my opinion because the entire sole of your shoe is supporting your weight. If you have a running shoe on a platform pedal, all of your weight is being focused on a square the size of that pedal platform.