That is a wide open question, Mike. If you have a report with an underlying query that groups or has criterion by a field, let's say, zip_code, then yes, having an index on the zip_code field would increase performance. But if it is by last_name, then no, an index on zip_code will not help your performance.
I would suggest doing a google search on SQL index guidlines. You can also kill performance by having too many indexes, improper indexes ...