An index is a data structure associated with one or more columns ordered by the column values. Indexes are typically created for columns that you are frequently searched on to improve response times. Most types of index are more effective when applied to columns with high cardinality.
For example, in an Author table, you might create an index for the primary key ID and another for the LastName column, as it is regularly searched on, but you will probably not create an index for the BirthCity column, as it is not often searched on.