There are two "sys" catalog views you can consult: sys.indexes
and sys.index_columns
.
Those will give you just about any info you could possibly want about indices and their columns.
EDIT: This query's getting pretty close to what you're looking for:
SELECT
TableName = t.name,
IndexName = ind.name,
IndexId = ind.index_id,
ColumnId = ic.index_column_id,
ColumnName = col.name,
ind.*,
ic.*,
col.*
FROM
sys.indexes ind
INNER JOIN
sys.index_columns ic ON ind.object_id = ic.object_id and ind.index_id = ic.index_id
INNER JOIN
sys.columns col ON ic.object_id = col.object_id and ic.column_id = col.column_id
INNER JOIN
sys.tables t ON ind.object_id = t.object_id
WHERE
ind.is_primary_key = 0
AND ind.is_unique = 0
AND ind.is_unique_constraint = 0
AND t.is_ms_shipped = 0
ORDER BY
t.name, ind.name, ind.index_id, ic.is_included_column, ic.key_ordinal;
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