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which columns do I choose to index

I am going to index my table in SQL 2012.  How do I determine which columns to index?  Can I index too many columns?  Can an index ever be done incorrectly and make it slower?  Also, can I remove an index with no problem if I choose to do it differently?
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Can I just avoid doing a clustered index and just setup unclustered indexes?

If I use the Database Tuning Advisor, will it just tell me what I need to index?
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