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...