I know this is quite an old post, however it seems an Index attribute is a major piece of functionality EF 4/5 are missing and the road map for EF 6 has no mention of it.
http://blogs.southworks.net/dschenkelman/2012/08/18/creating-indexes-via-data-annotations-with-entity-framework-5-0/
http://blogs.southworks.net/dschenkelman/2012/08/18/creating-indexes-via-data-annotations-with-entity-framework-5-0/