Indices are used when describing your object. For example, a cube consists of 6 polygons. You could make up each polygon by specifying 4 vertices. You would then end up with 24 (6x4) vertices but lots of vertices would be specified more than once.
Now how about only specifying 8 vertices which represent the 8 corners of the cube? You store these vertices in a list, like this:
0. xyz
1. xyz
2. xyz
3. xyz
...
7. xyz
The 0 to 7 are the index values of those vertices. Now you can say, for example, that vertices 0,1,3 and 7 make up one polygon. You're actually sharing (!) your vertices this way. This has two major advantages:
1. It saves a lot of memory (8 vertices instead of 24 in case of a cube!)
2. It's faster! Think about moving a cube. Moving only 8 vertices is of course a lot faster than moving 24. The same goes for almost all other actions.
Hope this helps. Indices are used a lot in DeleD, they're pretty cool.