I usually love Seanan McGuire - the InCryptids series is one of my all time favorites, and what I've read of October Daye I've liked. I loved the first book in her Wayward Children series, Every Heart a Doorway.
Everything about Indexing should have worked for me - I liked the concept of the fairy tale narrative repeating itself endlessly, and a shadowy government agency tasked with making sure that the rest of us don't get accidentally caught up in the terrible effects of it was fun. It was also super-cheap - I paid $1.79 for the kindle book back when I bought it.
Unfortunately, my overall feeling at the end of the book was "meh." Maybe it was the serial format - the book began its life as part of the short-lived kindle serial experiment, so it was really a collection of chapters with an overarching narrative, but McGuire had to spend time recapping for readers who entered the serial at a point other than the beginning.
I also felt like it wasn't as fully-realized as some of her other books. Again, maybe this is a byproduct of the serial format, but it felt rather jumpy and unconnected at times.
When I bought this one, I also grabbed the second in the series. There was enough that I liked about the first book that I'm sure I'll read it at some point, but if I hadn't already bought the second book, I'd give it a miss.
If you are still interested after my mediocre review, this book would fit A Grimm Tale, Supernatural and Terrifying Women squares for Halloween Bingo!