Check the script generated in such cases. Most likely SSMS creates a new table with modified structure and copied data into it. On a large table ALTER TABLE with dropping and re-creating an index could be much faster.

>There is a setting in SQL Server 2005 Management Studio that may effect this:
>
>Tools - Options - Designers - Table and Database Designers - Override connection string time-out value for table designer updates:
>
>I had this same problems changing some column definitions in a large table, and needed to increase that value to 30.