Hard and Fast rule for include columns in index
That index suggestion by marc_s is wrong. I've added a comment. (And it was my answer accepted too!)

The index for this query would be

CREATE NONCLUSTERED INDEX NC_EmpDep 
  ON Employee(DepartmentID)
  INCLUDE (Lastname, EmployeeID)


An index is typically

CREATE INDEX &lt;name&gt; ON &lt;table&gt; (KeyColList) INCLUDE (NonKeyColList)


Where:


KeyColList = Key columns = used for row restriction and processing 
WHERE, JOIN, ORDER BY, GROUP BY etc
NonKeyColList = Non-key columns = used in SELECT and aggregation (e.g. SUM(col)) after selection/restriction