Indicies are the best performance gain you can get from a table in any database.
For SQL Server indicies can be classified into clustered and non-clustered. There is a facinating article that explains the difference to be found at:
Here's the crux:
For speeding up single records and minimizing index space use non-clustered.
If select performance (rather than insert performance) is paramount... use clustered idices.
Note: A table can have only one clustered index. It is recommended to keep that index same as the primary key :)
So when adding indicies you will generally be adding non clustered indices. Enjoy !