Is indexing vectors in MATLAB inefficient?

I can, of course, only speculate. However when I run your test with the JIT compiler enabled vs disabled, I get the following results:

 % with JIT   no JIT
    0.1677    0.0011 %# init
    0.0974    0.0936 %# #1 I added an assigment before this line to avoid issues with deferring
    0.4005    0.4028 %# #2
    0.4047    0.4005 %# #3
    1.1160    1.1180 %# #4
    0.8221   48.3239 %# #5 This is where "don't use loops in Matlab" comes from 
    0.3232   48.2197 %# #6
    0.5464   %# logical indexing

Dividing shows us where there is any speed increase:

% withoutJit./withJit
    0.0067 %# w/o JIT, the memory allocation is deferred
    0.9614 %# no JIT
    1.0057 %# no JIT
    0.9897 %# no JIT
    1.0018 %# no JIT
   58.7792 %# numel
  149.2010 %# no numel

The apparent speed-up on initialization happens, because with JIT turned off it appears that MATLAB delays the memory allocation until it is used, so x=zeros(…) does not do anything really. (thanks, @angainor).

Methods 1 through 4 don’t seem to benefit from the JIT. I guess that #4 could be slow due to additional input testing in subsref to make sure that the input is of the proper form.

The numel result could have something to do with it being harder for the compiler to deal with uncertain number of iterations, or with some overhead due to checking whether the bound of the loop is ok (thought no-JIT tests suggest only ~0.1s for that)

Surprisingly, on R2012b on my machine, logical indexing seems to be slower than #4.

I think that this goes to show, once again, that MathWorks have done great work in speeding up code, and that “don’t use loops” isn’t always best if you’re trying to get the fastest execution time (at least at the moment). Nevertheless, I find that vectorizing is in general a good approach, since (a) the JIT fails on more complex loops, and (b) learning to vectorize makes you understand Matlab a lot better.

Conclusion: If you want speed, use the profiler, and re-profile if you switch Matlab versions.
As pointed out by @Adriaan in the comments, nowadays it may be better to use timeit() to measure execution speed.

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For reference, I used the following slightly modified test function

function tt = speedTest

tt = zeros(8,1);

tic; x = zeros(1,1e8); tt(1)=toc;

x(:) = 2;

tic; x(:) = 1; tt(2)=toc;
tic; x(1:end) = 2; tt(3)=toc;
tic; x(1:1e8) = 3; tt(4)=toc;

tic;
id = 1:1e8; % colon(1,1e8);
x(id) = 4;
tt(5)=toc;

tic;
for i=1:numel(x)
    x(i) = 5;
end
tt(6)=toc;

tic;
for i=1:1e8
    x(i) = 6;
end
tt(7)=toc;

%# logical indexing
tic;
id = true(1e8,1));
x(id)=7;
tt(8)=toc;