What happens when CREATE INDEX gets interrupted (manually or accidentally)?
Index creation is done within a transaction.  If you interrupt it, SQL Server will rollback the transaction.  This might take a while, but it's harmless.  Of course, there are locks held while the transaction is active so this can impact your server's performance.

If you lose power in the middle, SQL Server will automatically rollback the partially completed transaction when the server boots.  Again, there's a performance hit but there's no harm done to your data.

http://technet.microsoft.com/en-us/library/ms188317(v=sql.105).aspx

http://technet.microsoft.com/en-us/library/ms190925.aspx

http://technet.microsoft.com/en-us/library/aa224747(v=sql.80).aspx