What the right menu is for a particular game is hard to say, but as a general rule, you can say that for AndEngine-based games, it makes sense to have as few on-screen menu elements as possible since the game will likely run on a relatively small screen, such as that of a smartphone.
AndEngine has built-in support for adding menu items to Android's standard (context-sensitive) Menu button. The most basic example is the MenuExample for this in the official AndEngine examples:
public class MenuExample extends SimpleBaseGameActivity implements IOnMenuItemClickListener {
private static final int CAMERA_WIDTH = 720;
private static final int CAMERA_HEIGHT = 480;
protected static final int MENU_RESET = 0;
protected static final int MENU_QUIT = MENU_RESET + 1;
protected Camera mCamera;
protected Scene mMainScene;
protected MenuScene mMenuScene;
private ITexture mFaceTexture;
protected ITextureRegion mFaceTextureRegion;
private ITexture mMenuResetTexture;
protected...