You should be using indexes to help SQL server performance. Usually that implies that columns that are used to find rows in a table are indexed.
Clustered indexes makes SQL server order the rows on disk according to the index order. This implies that if you access data in the order of a clustered index, then the data will be present on disk in the correct order. However if the column(s) that have a clustered index is frequently changed, then the row(s) will move around on disk, causing overhead - which generally is not a good idea.
Having many indexes is not good either. They cost to maintain. So start out with the obvious ones, and then profile to see which ones you miss and would benefit from. You do not need them from start, they can be added later on.
Most column datatypes can be used when indexing, but it is better to have small columns indexed than large. Also it is common to create indexes on groups of columns (e.g. country + city + street).
Also you will not notice performance issues until you have quite a bit of data in your tables. And another thing to think about is that SQL server needs statistics to do its query optimizations the right way, so make sure that you do generate that.