With SQL Server 2005 you also have the opportunity to Include additional columns in your index.  This is in BOL at:

ms-help://MS.SQLCC.v9/MS.SQLSVR.v9.en/udb9/html/d198648d-fea5-416d-9f30-f9d4aebbf4ec.htm

"An index with included nonkey columns can significantly improve query performance when all columns in the query are included in the index either as key or nonkey columns. Performance gains are achieved because the query optimizer can locate all the column values within the index; table or clustered index data is not accessed resulting in fewer disk I/O operations."