A good title
The title of a question is the first thing people see. Like headings in newspapers, book, song and album titles, their importance is not to be underestimated -- the presence of a good, descriptive title for your question often greatly improves the exposure (and hence the amount and quality of answers) it gets. To ensure maximal descriptiveness of your question's title, review it before posting and ensure that it (still) adequately describes your question's content.
How to choose a good title
Make your title your question
Use your title to convey as much information about your question as possible. Since the tags already convey the general subject area of your question, the title should communicate the question itself as faithfully as possible. If necessary, leave out hypotheses in the title, and in the body of the question, explain why the question requires those hypotheses.
MathJax works in titles
Titles have MathJax support. This means you can e.g. include the integral your question is about in the title, and do not have to resort to vague descriptions like "difficult integral". In your use of MathJax, please adhere to the community guidelinescommunity guidelines for MathJax in titles. Most importantly, keep the vertical space your title uses to a minimum, and be sure to include at least some plain words.
Don't be afraid to make the title long
Titles are allowed to be anywhere from 15 to 150 characters long. 140 characters (the length of a tweet) of plain text take up about two full lines on the home page, so try to keep it less than that. But 140 characters is a lot longer than you might think. Too many people restrict themselves to 20 character titles. They're trying not to waste your time by making you read a long title, but they end up wasting more of your time because you have to actually open the question to see if it's interesting to you.
Make your title interesting for others
Mathematics.SE is designed to be a repository of good mathematical questions and answers. Thus, there is no need to refer to your personal situation in the title. Make your title a question of universal value. For example, the title Help me solve $a^2+b^2=c^2$ for my exam preparation is very specific to your personal situation. Deriving the formula for Pythagorean triples would be a more universal, better title for the same question.
Your question should be clear without the title
After the title has drawn someone's attention to the question by giving a good description, its purpose is done. The title is not the first sentence of your question, so make sure that the question body does not rely on specific information in the title.
Other Tips
When you are posting a question, write your title first. The system will then suggest possible duplicates: take a look at them, opening links in another tab. If none of those are actual duplicates, write out the body of your question. Then go back and put in a better title for the body that you wrote. (From Robert Harvey)