Clustered indexes physically order the data on the disk. This means no extra data is needed for the index, but there can be only one clustered index (obviously). Accessing data using a clustered index is fastest.
All other indexes must be non-clustered. A non-clustered index has a duplicate of the data from the indexed columns kept ordered together with pointers to the actual data rows (pointers to the clustered index if there is one). This means that accessing data through a non-clustered index has to go through an extra layer of indirection. However if you select only the data that's available in the indexed columns you can get the data back directly from the duplicated index data (that's why it's a good idea to SELECT only the columns that you need and not use *)