i recently went through one of my docs and added a bunch of index entries. That all works fine and good. However, when i insert the INDEX down at the bottom of the doc, i can no longer export it. i get an error message saying something like "an error has occurred. Please fix it and try again." Removing the INDEX fixes it. :/
Your index entries contain LaTeX command characters like '#', '&' and '_'. To avoid that LaTeX use them as commands set a backslash before, like '\_'.
LyX inserts the backslash automatically in the background if you type a command character in normal text. But within index entries you have to do it manually.
regards Uwe