Very large Primary Key index with few rows
A clustered index in MSSQL causes sequential data rows to be stored together in the data file, including when data in a row is updated.  You don't have to have one, but, unless you make it different, a primary key will be created with a clustered index.  As we've already said, really you're changing your entire table into the clustered index.  Basically a tree whose leaves are the data rows.  You can also have a clustered index which isn't the primary key.

A nonclustered index is a separate copy of specified table column data, organised in a different key order.  It includes the clustered index key, if there is a clustered index, to link back to the table row.  This makes it economical to use a small size clustered index key.  GUID isn't ideal, but there's worse.  Data can be fetched from a nonclustered index without touching the stored table at all.  Of course, when table data is updated, the server has the job of automatically updating the data in a nonclustered index as well.