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This is a great feature. We manually added the indexes it recommended for a while but eventually found ourselves always adding the suggestions so we turned on the automatic creation.

I have only used it on Oracle 10g, but dbms_sqltune is a PL/SQL package that implements the SQL Tuning Advisor.

I wrote some PHP for my users to find their queries and run the analyzer, and it will suggest new indexes among other performance-enhancing options.

There is also this SQLite index suggestion tool on the front page today...

https://news.ycombinator.com/item?id=31991598

Some analysis of the Azure / Sql Server 2017+ automatic index tuning:

https://www.brentozar.com/archive/2019/02/what-does-azure-sq...

Azure Cosmos also has a default index which you can override for better performance.