What's the best way of creating a readonly array in C#?

Use ReadOnlyCollection<T>. It is read-only and, contrary to what you believe, it has an indexer.

Arrays are not immutable and there is no way of making them so without using a wrapper like ReadOnlyCollection<T>.

Note that creating a ReadOnlyCollection<T> wrapper is an O(1) operation, and does not incur any performance cost.

Update
Other answers have suggested just casting collections to the newer IReadOnlyList<T>, which extends IReadOnlyCollection<T> to add an indexer. Unfortunately, this doesn't actually give you control over the mutability of the collection since it could be cast back to the original collection type and mutated.

Instead, you should still use the ReadOnlyCollection<T> (the List<T> method AsReadOnly(), or Arrays static method AsReadOnly() helps to wrap lists and arrays accordingly) to create an immutable access to the collection and then expose that, either directly or as any one of the interfaces it supports, including IReadOnlyList<T>.

.NET Framework 4.5 introduced IReadOnlyList<T> which extends from IReadOnlyCollection<T> adding T this[int index] { /*..*/ get; }.

You can cast from T[] to IReadOnlyList<T>. One advantage of this is that (IReadOnlyList<T>)array understandably equals array; no boxing is involved.

Of course, as a wrapper is not being used, (T[])GetReadOnlyList() would be mutable.

From .NET Framework 2.0 and up there is Array.AsReadOnly which automatically creates a ReadOnlyCollection wrapper for you.