While working on the Tolkien Index website, I've encountered a few errors in the paperback edition of The History of Middle-earth Index (HarperCollins 2002). (It would be interesting to know if any of these were corrected for the print-on-demand hardcover edition released in 2010.) I will be updating this article if additional errors are found.
p. 28 (entry for Atanamir): [for] Tar-Atanamtr [read] Tar-Atanamir
p. 31: [after] Aur [insert] (I)
p. 123 (entry for Elenarda): [for] *2423 [read] *242—3
p. 155: [for] Falmani [read] Falmari [Added 26 September 2013]
p. 157: [for] Faskala-ntmen [read] Faskala-númen [Added 28 April 2014][Note 1]
p. 180 (entry for Gartharian): [for] Gartharian [read] Garthúrian
p. 191: [for] Gochnessiel [read] Gochressiel
p. 251 (entry for Ivorwin): [for] Ivorwin [read] Ivonwin [Added 7 April 2013]
p. 270 (entry for Lindon): [The form Lindónë appears in the index, while the form Lindóne is used in the text.]
p. 326 (entry for Nen Cenednil): [for] Nen Cenednil [read] Nen Cenedril
p. 330 (entry for Nimphelos): [for] 10 [read] 11
p. 435 (entry for Tom Bombadil (VII)): [for] Porn [read] Forn [Added 24 June 2012]
p. 459 (entry for Valaturu): [for] Valaturu [read] Valatúru [Added 23 March 2013]
Note 1: In the textual passage (BLT1:187), the form is actually given as Faskalanúmen (i.e., without the hyphen); other references, however, give the form with the hyphen (such as BLT1:253 and PE11:34).