For me, the appeal of playing slide guitar is that smooth liquid sweetness of sound and the freedom that you get from running the slide over the strings rather than just going up fret by fret. You can hear it on any cut that uses the fretless bass. Listen to the Firm's remake of "You've Lost That Lovin' Feeling". It just sounds great. I'm not an expert when it comes to slide guitar, but I'm aware that there is a trap waiting for you when you give it a try. A lot of slide playing sounds wimpy and slightly sour if it's not done correctly. So it's worth the effort to play it precisely.
Duane Allman comes to mind as a real ballsy slide player. George Thorogood is a fine player. Jeff Beck's slide work has aiways hit me as where slide playing should be. Check out the Beck album "Rough & Ready" or any of the first four Allman Brothers albums.
Music stores sell many different types of slides these daysmetal and glass are the most common. Some people use the inside of toilet paper holders, which is a real thin metal. You can use a lipstick case. Duane Allman used an empty medicine bottle. I use a medium weight metal slide because I like the sound and feel I get.
Most people either put the slide on their ring finger or pinky depending on which is more comfortable. The important thing to remember when you play slide, is that unlike fretting, you have to hold the slide right over the fret to get the correct pitch. It's the same idea as when you make a harmonic. The most obvious and fundamental thing with playing slide guitar is that you have to mute the strings you're not playing, otherwise they'll ring and make a lot of noise. You should do this with both the right and the left hand. I lay my right hand across the strings, pick the note or notes I want, and damp the rest, especially the bass strings, with my palm. I use the slide on my ring finger and brace it with my pinky. I drag my index and middle finger behind the slide to dampen out notes that I don't want. For sound, I generally use the bridge pickup.
One of my favorite aspects of slide playing is that you can really get right in that blue note area (often between the 3rd and flat 3rd of the scale) which you can't get with the frets, even if you're bending the notes. With the slide you can hit excruciating tolerances of pitch between notes. Here's a simple melody to try out.
Start with the B note on the D string 9th fret. Go to the D on the G string 7th fret and then up two frets to the E, also on the G string. Now catch the blue note(s) between the G and the G#, 8th to 9th frets on the B string. End the riff with the E on the 9th fret G string. You can almost sound like a blues harp with the slide. Start on the E note of the G string and drag the slide back quickly to the D on the 7th fret. To make vibrato you only need to shake the slide. A typical blues slide vibrato is pretty quick and gives you a Bumble Bee sound. A neat effect which Jeff Beck is the master of, is running the slide right off the neck and up to the bridge.
Here's another classic slide move. In the key of A, hold the slide over the 5th fret and sound the B and E strings together, strumming them with an alternate picking motion. While vibrating or shaking the slide go for the 6th fret G string and the 7th fret D string. In doing this you outline on A major chord. What you're doing as you go up the neck and down in pitches, is catching the third of the chord (C#) on your way down to playing the A note on the D string. It should be one motion on the slide as you pick the G and D strings.
People who play slide a lot usually have an instrument dedicated to it and commonly raise the action and the pickups so the strings are far enough off the frets that they don't sound like they're running over a picket fence when they run down the neck.