Here is a query to run on sql server 2005 that will suggest index to add, it even gives you the sql statement to create the index. It's best to run it after your database has been running for a while.
SELECT migs.avg_total_user_cost * (migs.avg_user_impact / 100.0) * (migs.user_seeks + migs.user_scans) AS improvement_measure, 'CREATE INDEX [ix_' + LEFT (PARSENAME(mid.statement, 1), 32) + ']' + ' ON ' + mid.statement + ' (' + ISNULL (mid.equality_columns,'') + CASE WHEN mid.equality_columns IS NOT NULL AND mid.inequality_columns IS NOT NULL THEN ',' ELSE '' END + ISNULL (mid.inequality_columns, '') + ')'+ ISNULL (' INCLUDE (' + mid.included_columns + ')', '') AS create_index_statement, migs.*, mid.database_id, mid.[object_id] FROM sys.dm_db_missing_index_groups mig INNER JOIN sys.dm_db_missing_index_group_stats migs ON migs.group_handle = mig.index_group_handle INNER JOIN sys.dm_db_missing_index_details mid ON mig.index_handle = mid.index_handle WHERE migs.avg_total_user_cost * (migs.avg_user_impact / 100.0) * (migs.user_seeks + migs.user_scans) > 10 ORDER BY migs.avg_total_user_cost * migs.avg_user_impact * (migs.user_seeks + migs.user_scans) DESC
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