In a SQL server, the data tables sit on disk. Indexes provide a means for the server to find a particular row of data in the table without having to search the entire table. When the entire table has to be searched, it's called a table scan. Most often, you want only a small subset of the data in the table, so a full table scan wastes a lot of disk I/O and therefore time.This problem is compounded when data must be joined, because many more rows must be compared between the two sides of the join.

via Tuning LAMP systems, Part 3: Tuning your MySQL server.