Slides are objects that allow the guitarist to create a violin-like tone. He/she slides the object over the snare and makes a note just above the fret. Different objects are used for sliding. W.C. Handy, the man who brought the blues to the general public in the early 1900s, saw a man on the station platform playing a blues song, accompanying himself on guitar and making notes with a knife. For example Robert Johnson used a brass sleeve, others used small medicine bottles or the bottlenecks that a finger would fit into.

The form of expression in blues is one of question and answer, statement and approval or disapproval. As the chords are plucked and in turn the slide plays a very expressive tone, the guitarist seems to be in a dialogue with his inner self or with an imaginary other person.
Besides the fact that the slide requires a special technique, the guitarist also has to provide a convincing tone. One of the first to do so was Elmore “The King of The Slide” James whose 'Dust My Broom' is still part of the classical repertoire today. Robert Johnson taught him to play slide with a metal sleeve on his finger. After the second world war, he created a specific electric sound in his brother's electric shop with parts from the shop and unusual placement of two DeArmond pickups. He also “hot-wired” his amp to give it more power and distortion. It gave his guitar a unique edge that roused the dancing audience. Elmore often tuned his guitar in open D and E tuning.

Earl Hooker (according to B.B. King the best slide player he knew) played with a standard tuning and used a short steel slide, which made it easy for him to switch from chord to slide. His slide sound comes from his light touch on the strings, a technique he learned from Robert Nighthawk: instead of full-chord glissando effects, he prefers single-note runs. Later he played on double-neck Gibson guitar, first a 6 and 4-string bass combination, later a 12- and 6-string combination (for solo and rhythm accompaniment). For the tone, he experimented with the amplification and used an echo and tape delay to simultaneously play two solos in harmony. He also enriched the slide sound with the use of a wah-wah pedal.

A wah-wah works on the same principle, the effect comes just after you have created the tone. You have to let it happen organically, I sometimes compare it to breathing, look for the breathing support as a foothold to slide through the slide part.

Nowadays there is a suitable slide for everyone: cloned to bottlenecks and pill bottles, glass tubes in different thicknesses, metal, copper and porcelain pipes (large and small). Acoustically, a resonator guitar is used because it produces more volume, giving you a better and more controllable tone. Electrically, the amplifier sound is overdriven or a fuzz or distortion is introduced.

I started with a glass slide from Dunlop (no 201), because I play with a medium action and with a standard tuning. This slide is thin and light so I can create slide notes with a light touch. The downside is that they are fragile and don't produce much volume. The thicker no 203 doesn't give me much grip on the strings and is just a bit too narrow for my little finger. In the end I've been playing with the cheapest steel slide out there for years and it's indestructible, has the right weight for vibrato and fits my little finger perfectly.
You also need enough volume to create a good tone, a boost or distortion pedal helps with that. What also helps is to turn the tone knob back a bit for a somewhat darker tone. This especially helps to get you in the right mood.
Furthermore, you hold the slide above the fret to get the right tone and since the sound of the tone reacts a little later, you will have to practice that. Above all, take it easy.