What is an index in SQLite?

Yes, indexes are all about improved data access performance (but at the cost of storage) http://en.wikipedia.org/wiki/Index_(database)

Why not SQL? The answer is the same, though the internal details will differ between implementations.

Putting an index on a column tells the database engine to build, unsurprisingly, an index that allows it to quickly locate rows when you search for certain values in a column, without having to scan every row in the table.

A simple (and probably suboptimal) index might be built with an ordinary binary search tree.

An index (in any database) is a list of some kind which associates a sorted (or at least, quickly searchable) list of keys with information about where to find the rest of the data associated with the key.

You may not be finding information about this on the Internet because you're assuming it's a SQLite concept, but it's not - it's a general computer engineering concept.