A general rule of thumb says that if you have a very large table (over 1 million rows), you should only use an index if a WHERE clause based on that index selects at most something in the neighborhood of 1-2% of the data.
If you have a "gender" column and roughly 50% of values are "male" and roughly 50% "female", then having an index on that really doesn't give you much - SQL Server and most other RDBMS will most likely still do a full table scan in this case, since on average, they'd have to scan at least half the table anyway, so the "detour" by using an index first and then looking up the actual full data based on that index value is just not worth it.
An index is excellent if you have something like unique keys (customer number), or a value that is quite selective. An index is not without cost - it uses up disk space, it needs to be maintained, it will slightly slow down all operations besides the SELECT - so thread carefully, it's not the best idea to just blindly index everything. Having too few indices is bad - but having too many, and the wrong ones, can be even worse! :-) Nobody ever claimed getting your indices right was easy.... :-)
But there's definitely help out there - the best source I know are Kimberly Tripp's excellent blog posts on SQL Server indexing (and many other topics).
Marc