In general, use an index on a column that's going to be used (a lot) to search the table, such as a primary key (which by default has a clustered index). For example, if you have the query (in pseudocode)
SELECT * FROM FOO WHERE FOO.BAR = 2
You might want to put an index on FOO.BAR. A clustered index should be used on a column that will be used for sorting. A clustered index is used to sort the rows on disk, so you can only have one per table. For example if you have the query
SELECT * FROM FOO ORDER BY FOO.BAR ASCENDING
You might want to consider a clustered index on FOO.BAR.
Probably the most important consideration is how much time your queries are taking. If a query doesn't take much time or isn't used very often, it may not be worth adding indexes. As always, profile first, then optimize. SQL Server Studio can give you suggestions on where to optimize, and MSDN has some information1 that you might find useful