Index coding achieves bandwidth savings by jointly encoding the messages demanded by all the clients in a broadcast channel. The encoding is performed in such a way that each client can retrieve its demanded message from its side information and the broadcast codeword. In general, in order to decode its demanded message symbol, a receiver may have to observe the entire transmitted codeword. Querying or downloading the codeword symbols might involve costs to a client -- such as network utilization costs and storage requirements for the queried symbols to perform decoding. In traditional index coding solutions, this 'client aware' perspective is not considered during code design. As a result, for these codes, the number of codeword symbols queried by a client per decoded message symbol, which we refer to as 'locality', could be large. In this paper, considering locality as a cost parameter, we view index coding as a trade-off between the achievable broadcast rate (codeword length normalized by the message length) and locality, where the objective is to minimize the broadcast rate for a given value of locality and vice versa. We show that the smallest possible locality for any index coding problem is 1, and that the optimal index coding solution with locality 1 is the coding scheme based on fractional coloring of the interference graph. We propose index coding schemes with small locality by covering the side information graph using acyclic subgraphs and subgraphs with small minrank. We also show how locality can be accounted for in conventional partition multicast and cycle covering solutions to index coding. Finally, applying these new techniques, we characterize the locality-broadcast rate trade-off of the index coding problem whose side information graph is the directed 3-cycle.