Over at GeospatialPython.com, there is an interesting blog post here that talks about .shx files as they relate to the whole shapefile make up (shp,dbf,shx,etc..) and why they are important or unimportant. pyshp now supports the creation of .shx files to provide the complete shapefile spec.
I think that is great, and I'm glad the community has taken to the open shapefile specification so well, but I think it's time we all move onto the file geodatabase. You can find the API here. As of right now, there is no python module to handle the file geodatabase spec, but I'm sure one will float up soon.