Jeff Schwartz looks at the performance cost of indexes when it comes to deleting rows:
Many articles concerning SQL Server discuss how record insertion overhead increases with each additional index. They discuss b-tree manipulations and page splits in addition to leaf and non-leaf levels. However, few discuss the fact that deletion overhead increases as well, especially when large numbers of records are deleted by individual queries. Recently, I was working with a client who regularly purged large numbers of records from tables that ranged in size from large to gigantic. For example, one table contained over 6.5 billion records. I added an index (4th overall) to one table expressly for the purpose of expediting the large deletion process, and the deletion run ran longer, despite using the new index! To determine how the numbers of indices and records to be deleted interact, I conducted an experiment to test several combinations. The specifics of the tests and their corresponding results are summarized below.
Check it out. There’s certainly more to the story than “add indexes to improve performance.”