With SQL Server, there is a quick way to discover if your expensive query will benefit from another index.
The SQL Server Management Studio has an option to show the activity monitor, which includes a table for the recent expensive queries.
From here, you need to ask it to generate the execution plan. This shows you a tab with a graphical picture of the execution plan. It is more informative then simply showing the execution plan during the query.
If your query will benefit from another index, you will see a message in green at the top, which includes the % by which the index could increase the performance.
Missing Index Details will open a new editor with the sql statement to create your index.
It is nice, quick and easy way of finding indexes that will help increase the performance of your expensive queries.