Covering Index Question
Very generally and non-technically, you should consider using the column as part of the index key if you are going to use that column in the WHERE clause (or otherwise filter/seek), and INCLUDE if it is merely being used to avoid a lookup (I like to call this "coming along for the ride"). Of course there are always exceptions:


you can't always include columns in the key due to size;
it may not matter due to cardinality; or,
it might not affect the plan due to where you would have to put it in the key to allow the index to continue satisfying other query semantics. 


There are also cases where an INCLUDEd column can satisfy a filter just fine, and plenty of cases where changing the index might help this specific query but it might wreak havoc on the rest of your workload. You should always test index changes against an entire workload representing as much of a full business cycle as possible, rather than rely on the missing indexes DMV or your own analysis which, it seems, is focused on a single query.

I'm sure Paul White will come along with a much more elaborate and technically accurate response.