The Big Four Yard is in Avon. You can watch it from the Ronald Regan Parkway bridge, just south of Rockville Road. Park in the Menard's or Target parking lot and walk up the bridge. There are sidewalks to stand and watch the trains.
The yard main entrance is located off of Raceway Road or Dan Jones Road, both located south of Rockville Road.
An hour north of Indy is Lafayette, where the old Monon Yards are located. Not sure what is there anymore.