For one, the recession was hitting Indiana harder than it was hitting harder than the nation as a whole. Sort of the same reason Obama did very well in Michigan that year (although Indiana wasn't getting hit quite as hard as Michigan was).
Secondly, he actually chose to campaign there, something I don't think any Presidential Democrat Candidate had done in a long time. Had he not, it probably would have just been better than usual for the Democrats.
This, plus a small bump because Obama was from a neighboring state, and the fact that McCain didn't campaign there as early as Obama did.
