Yes. I recommend you check out Kimberly Tripp's articles on indexingKimberly Tripp's articles on indexing.
If an index is "covering", then there is no need to use anything but the index. In SQL Server 2005, you can also add additional columns to the index that are not part of the key which can eliminate trips to the rest of the row.
Having multiple indexes, each on a single column may mean that only one index gets used at all - you will have to refer to the execution plan to see what effects different indexing schemes offer.
You can also use the tuning wizard to help determine what indexes would make a given query or workload perform the best.