Queries in PostgreSQL cannot be answered just using the information in an index. Whether or not the row is visible, from the perspective of the query that is executing, is stored in the main row itself. So when you add an index to something, and execute a query that uses it, there are two steps involved:
- Navigate the index to determine which data blocks are used
- Retrieve those blocks and return the rows that match the query
It is therefore possible that answering a query with an index can take longer than just going directly to the data blocks and fetching the rows. The most common case where this happens is if you are actually grabbing a large portion of the data. Typically if more than 20% of the table is used, it's considered fast to just sequentially access it. Sometimes the planner thinks less than 20% will be accessed, so the index is preferred, but that's not true; that's one way adding an index can slow a query. This may be the situation you're seeing, based on your description--if the large ranges are touching more of the table than the optimizer estimates, using an index can be a net slowdown.
To figure this out, the database collects statistics about each column in each table, to determine whether a particular WHERE condition is selective enough to use an index. The idea is that you need to have saved so many blocks by not reading the whole table that adding the index I/O on top of it is still a net win.
This computation can go wrong, such that you end up doing more I/O than had you just read the table directly, in a couple of cases. The cause of most of them show up if you run the query using EXPLAIN ANALYZE. If the "expected" values versus the "actual" numbers are very different, this can suggest the optimizer had bad statistics on the table. Another possibility is that the optimizer just made a mistake about how selective the query is--it thought it would only return a small number of rows, but it actually returns most of the table. Here, again, better statistics is the normal way to start working on that. If you're on PostgreSQL 8.3 or earlier, the amount of statistics collected is very low by default.
Some workloads end up adjusting the random_page_cost tunable as well, which controls where this index vs. table scan trade-off happens at. That's only something to consider after the stats information is checked though. See Tuning Your PostgreSQL Server for an intro to several things you can adjust here.