Hopefully, I can get answers for each database server.
For an outline of how indexing works check out: How does database indexing work?
In SQL Server, you can do the following: (MSDN Link to full list of options.)
CREATE [ UNIQUE ] [ CLUSTERED | NONCLUSTERED ] INDEX index_name
ON
(ignoring some more advanced options...)
The name of each Index must be unique database wide.
All indexes can have multiple columns, and each column can be ordered in whatever order you want.
Clustered indexes are unique - one per table. They can't have INCLUDEd columns.
Nonclustered indexes are not unique, and can have up to 999 per table. They can have included columns, and where clauses.