The limit is valid for the size of the MDF database file, so yes, it will include your indexes, as well as other database objects, such as SQLCLR code, etc. Starting with SQL Server 2008, full text indexes are also part of the database, so they will count on the limitation.
Data stored in the FILESTREAM data type mentioned by Steve is excluded because FILESTREAM data is stored in separate files, not in the MDF file.
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