Indexes are essential in making sure that your queries have efficient query plans and for SELECTS, you don’t end up doing searches on HEAPS.

One of the biggest improvements in SQL Server 2005 is that it tracks all the transactions happening on the server and makes a list of indexes which could prove beneficial for those queries. Of course, one index might be beneficial for one query but detrimental to another. So, it is highly essential that we test the feasibility of implementing these indexes on a production environment before rolling out changes to our indexes.

The missing indexes feature is on by default. No controls are provided to turn the feature on or off, or to reset any of the tables returned when the dynamic management objects are queried. When SQL Server is restarted, all of the missing index information is dropped. This feature can only be disabled if an instance of SQL Server is started by using the -x argument (one of the startup parameters) with the sqlservr command-prompt utility. However, along with the missing indexes, a lot of other useful events for performance troubleshooting will not be captured which is why this startup option is not recommended.

So, the first thing I would do if a query or a set of queries are running slowly in SQL Server, I would query the DMVs related to these missing indexes and find out if there are an indexes related to the tables on which those slow running queries are executing. This feature becomes highly useful when the following conditions are true:
1. NO CPU bottleneck
2. NO Blocking on the server
3. NO Disk bottleneck

You can view a list of all the missing indexes using Performance Dashboard which can be used with SQL Server 2005 Service Pack 2 and above.

You can get the CREATE INDEX commands for the missing indexes recommended on your instance using the query mentioned here.

If you want to test an automatic determination of the index candidates for your workload, then have a look at the post below:
http://blogs.msdn.com/b/queryoptteam/archive/2006/06/01/613516.aspx

Related Links for Missing Indexes
About Missing Indexes
http://msdn2.microsoft.com/en-us/library/ms345524.aspx
Finding Missing Indexes
http://msdn2.microsoft.com/en-us/library/ms345417.aspx
Limitations of this feature
http://msdn2.microsoft.com/en-us/library/ms345485.aspx