I'm attending a SQL training and looking at indexing closely. One thing that becomes important is understanding how SQL executes queries. Understanding the graphical execution plans becomes extremely important. While looking for a good reference, I found it in books online:

Graphical Execution Plan Icons (SQL Server Management Studio)
http://msdn.microsoft.com/en-us/library/ms175913.aspx

As usual, Books Online is a great reference but it does help you understand them and there are no details and screenshots. I did find a nice article that describes some of the most important ones in good detail, with sample queries and nice screenshots:

  • Select (Result)
  • Sort 
  • Clustered Index Seek  
  • Clustered Index Scan   
  • Non-clustered Index Scan
  • Non-clustered Index Seek  
  • Table Scan
  • RID Lookup
  • Key Lookup
  • Hash Match 
  • Nested Loops  
  • Merge Join
  • Top
  • Compute Scalar
  • Constant Scan
  • Filter
  • Eager Spool

Check it out at: Graphical Execution Plans for Simple SQL Queries
http://www.simple-talk.com/sql/performance/graphical-execution-plans-for-simple-sql-queries/

For deeper info on this, you can also take a look at: Query evaluation techniques for large databases
http://portal.acm.org/citation.cfm?id=152611

It will take you a long time to learn all the details, but there is some great info out there.
It will definitely help with your indexing strategies.