The answer will heavily depend on what you're doing.

CRUD patterns where you're pulling out a small group of rows from several tables, you probably want indexes on `JOIN` clauses so that you can quickly find those links using nested loop index scans. And maybe a few indexes on common ways to find records.

Analytics patterns where you're aggregating a large number of rows, indexing `JOIN`s won't help you, because you really want hash or merge joins anyway. Instead, tune your indexes for `WHERE` clauses, because you want a filtered index scans instead of table scans on the reads.

You also want to learn about cardinality and selectivity. Ideally your indexes are organized by selectivity.