Some magazines provide an annual index to their articles, and I find that very useful. Scientific American, up until 2003, included their annual index in their December issues. In fact they provide two indexes, one by author and one by "title keyword".
This title keyword approach is an interesting compromise between a strictly alphabetical title index and a keyword index. Essentially the title is listed by its most significant keyword. For example, the article "Building a new gateway to China" is listed as "China, Building a new gateway to". This way all the articles related to a particular topic are group together, which is great when looking up related information. For articles without a strong keyword in the title, one is added, for example "Ants: slave-making queens".
Based on their 1993-2003 annual indexes, I was able to compile my own cumulative article index for the issues for those years. You can see it at http://www.davelo.net/sciam This cumulative index is a manual effort of cut and paste, and some strategic search and replace with regular expressions.
For 2004, however, Scientific American did not include an annual index in their December issue. Thinking they may be delaying it a month, I waited until the January 2005 issue, but alas still no index. So I had to manually copy in the article titles from the monthly table of contents, choose my keywords, re-format etc.