Pull a biography from your shelf and flip to the back. In almost every case you'll find an index there, a listing of access points to the interior of the text. You can go back and find information about the subject's time at the university or something about his or her siblings. Pull some of other non-fiction book from your shelf. You'll find indexes in most of them too. Now try a novel, maybe a few, maybe all of them. Find any indexes? Probably not, maybe a small handful (I have less than a shelf full and I've specifically searched them out).
Convention tells us that novels don't have indexes; novels don't need indexes. What about in your reading group last week when you couldn't remember that great passage... it was while the protagonist was on vacation... but... where was that in the book? In the middle somewhere? Time to start paging through and skimming the text. Better hope it's not a 900 page William Gaddis novel.
Indexes in novels have their uses, but not many novels use them. A number of novels use indexes as a way to blur the fictionality of the novel. With an index the novel might appear less fictional (Virginia Woolf's novel Orlando, subtitled "A Biography," has an index). Others use indexes as parody (Lucy Ellmann's Sweet Desserts) or as embellishment on a theme (Mark Danielewski's House of Leaves' index mirrors the labyrinth at the center of the novel with its indexing of every occurrence (or so it seems) of even the most banal of words (a column of tiny references to "so"). JG Ballard even wrote a story that is all index to a novel that doesn't exist ("The Index"). The rarest of examples actually have useful indexes (Perec's Life: A User's Manual has more than one).
But some novels use indexes not only as they are meant to be used (information access) but as clues and addenda to the work itself. Nabokov's Pale Fire is a classic example. Brian Boyd (in his Nabokov's Pale Fire) found numerous clues to the novel in the winding references of its index.
Anders Monson's Other Electricities has an index, and I believe it follows in the footsteps of Nabokov's. Not only does it provide paths back into the book, but it helps organize themes and it might provide information left unsaid in the book proper. Unless I missed something on my reading, the index tells us a little more about some of the stories in the book.
Matt has discussed reading the stories out of order; the index would provide an alternate method of reading the book in a non-linear way. What if we traced all the references to ice? or God? What if we just wanted to revisit a passage we really loved?