I have a fairly simple query using sys.dm_db_missing_index_group_stats that identifies missing indexes in my SQL Server database. This is pretty commonly used. My question is how do I identify which of these indexes are important and should be created and should I just create them all or are there any other secrets? Anything I specifically should look for in the avg_user_impact or avg_total_user_cost columns?
Kimberly Tripp did a few very good video's on Index Analysis that covered your question extremely well as part of the MCM Readiness videos.
Among other things she said DO NOT just create all of them. Review each one and compare it to your existing indexes, review it's cost etc. I highly recommend them and best of all they are free!