The Microsoft SQL Server Advisory Team has a good article on indexes:
http://blogs.msdn.com/sqlcat/archive/2005/12/12/502735.aspx
They include very useful performance tuning queries. SQL Server 2005 has what they call DMV (Dynamic Management Views) that lets you do diagnostics and tuning. This was not available in SQL 2000. This article answers the following questions:
(1) How can I find out whether my indexes are useful? How are they used?
(2) Do I have any tables or indexes that are not used (or rarely)
(3) What is the cost of index maintenance vs. its benefit?
(4) Do I have hot spots & index contention?
(5) Could I benefit from more (or less) indexes?
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