An Index is an object that lets one travel through a collection. An Index can also be used to return to some interesting point, much like a bookmark.
In the case of an Array, neither of these capabilities is very useful (you can access any value efficiently right from the key). For Lists and Maps, though, it is important because the only way to get from point A to point C is to travel through point B.
What makes indicies interesting is that there are different types. The most important one is the PermutedIndex, which travels through a collection in random order.