An indexed column and in particular a primary key can be accessed very fast. If you intend to often access records in their sort order, a clustered primary key can improve the access time further. With a clustered index the rows are stored in a physical order that corresponds to the index order.
See: What do Clustered and Non clustered index actually mean?
The records should be inserted sequentially (in relation to the index column(s)) when using a clustered index, otherwise page inserts and fragmentation of the index will occur. Clustered indexes work best with identity columns. If you use GUIDs as index column, use the newsequentialid()
function. (According to clarifications of @Lucero)
An other optimization would be to use a covering index. This is an index including all the columns of a query. With a covering index, SQL-Server needs only to access the index. The rows need not to be accessed separately. This reduces the number of disk accesses.
See: Using Covering Indexes to Improve Query Performance