Index on multiple columns VS multiple index

I have a question concerning index : suppose I have a table with fields 'a' and 'b' and that all requests perform WHERE clauses on 'a' field, and some requests also perform WHERE clauses on 'b' fields. What is the best approach for indexing strategy:

• One index on 'a' and one on 'b'
• One index on both columns 'a' and 'b'
• A combination of both solutions ?

Thanks in advance,

Brice