<p>What are the differences between a <code>clustered</code> and a <code>non-clustered index</code>?</p>

Clustered indexes are stored physically on the table. This means they are the fastest and you can only have one clustered index per table.
Non-clustered indexes are stored separately, and you can have as many as you want.
The best option is to set your clustered index on the most used unique column, usually the PK. You should always have a well selected clustered index in your tables, unless a very compelling reason--can't think of a single one, but hey, it may be out there--for not doing so comes up.