People seem to be confused when it comes to indexing of foreign key columns. For one, I believe some people assume that when you create a foreign key constraint (in SQL Server) an index is also created on the column(s) that make up the key/constraint. This is not the case.
That leads us to the original question . . . Should we create indexes on our foreign keys??
I believe that in most cases the answer is yes.
There are a few things to consider here:
1) Constraint checks
2) Cascading Updates and Deletes
1) If you delete a row in a table whose primary key or unique constraint is referenced by one or more foreign keys, SQL Server will search the foreign key tables to determine if the row can be deleted (assuming you have no cascade behavior defined). An index on the foreign key column(s) will speed this search.
2) The same is also true for update and delete cascades. If either are defined, the child/foreign key rows must be identified and updated and/or deleted. Again, the index helps find these rows more efficiently.
3) More often than not foreign key columns will be joined to primary key columns in queries. Joins are always more efficient when an index exists on both sides of the join.
If you ask me, it's a no-brainer to index your foreign key columns. How often do you have a database with foreign key relationships that don't fall under one of the 3 above scenarios??