There are quite a few cool DMV's (Dynamic Management View) in SQL Server 2005 and 2008, and here is one that I use quite often. When you execute this query you will get a nice list of what Index you should add to get a super fast database.
SELECT
migs.avg_total_user_cost * (migs.avg_user_impact / 100.0) * (migs.user_seeks + migs.user_scans) AS improvement_measure,
'CREATE INDEX [missing_index_' + CONVERT (varchar, mig.index_group_handle) + '_' + CONVERT (varchar, mid.index_handle)
+ '_' + 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
SQL Server will gather information about query executions and how good they perform, so you need to have some data and have the server up and running a while before you can see any data from this DMV. If the result is empty you are all good =)
I first found out about this at Bart Duncan's SQL Weblog
