Hi
I have solved my problem, and learned somethings along the way, as it often
goes :). (I use LyX 2.0.1 for Linux, btw)
To help others with indexes in Lyx. It seems that indexes are very fragile,
especially if they are placed in other environments than standard, and one
should also be aware that marking the insets with emphasis could break indexes.
emphasis inside the insets are fine, it seems.
Another stumbling block is that there are two places to put the options for the
texindy, one in the lyx-setup and one in the document-setup. I did not have
them in the document and thus the language option was not passed on to texindy.
I also learned that texindy uses LIRC format internally even if the TeX-file is
in UTF8 when pdflatex is used. And thus only the language option needs to be
passed along (-L norwegian). In XeTeX texindy uses utf8 and may need -C utf8 in
addition but I have not tested this...
I hope this will be helpful for someone :).
Ingar Pareliussen