Index awareness is pointless without a correct indexing strategy within your database. If you are working with a dimensional model (i.e. a star schema - a typical data warehouse model) then the common indexes are:
Index all join columns
Index columns commonly used in where clauses
Index columns commonly used in group by clauses
That's just one aspect of performance though.
The fastest join is an inner join on indexed integer columns.
If you join on dates and one or both join columns use a function, an index won't help as much as creating a surrogate key for the date columns.
Have a read up on data warehouse indexing strategies to get a more in-depth understanding of what you're indexing, as well as looking into other areas such as aggregates and partitioning. to get a fuller picture.