We are using magento 1.4.1 for our store, with 30+ categories and 2000+ products, every time i try to reindex the indexes "Catalog URL Rewrites" takes longer time to complete, please suggest us on how we can improve its speed?
Unfortunately catalog_url_rewrites is the slowest index in Magento when you have a large number of SKUs and the time is multiplied if you have a large number of store views. If you still have the default french/german store views - be sure to delete them, this will speed things up by a factor of 3x.
There are no means to speed up the re-index other than beefing up hardware (or optimising server configuration).
Running re-index via command line will relieve the burden of HTTP, but if the php.ini is the same, then its going to take the same amount of time.
You compare by running
php -i | grep php.ini
And comparing it to the output of of a script accessed via HTTP
phpinfo();
Otherwise, server tuning is everything, improving PHP and MySQL performance (which is a bit beyond the scope of this reply).