Generally, it depends on the way you are using the word "indeed". If "indeed" is used as an interjection in the sentence in order to emphasise some particular type of remark, then you should certainly use "comma" so as to offset the effect of the interjection. Introductory use of the word "indeed" (as in your third sentence), requires "comma" for the same purposes.
A good way to judge the correct way is to have a glance at your sentence. If you can remove the word "indeed" from the sentence leaving the actual meaning of the said sentence intact, you can shun the use of "comma", but if your interjection is so strong that the sentence is in dire need of the word so as to maintain its veridical meaning, you must use "comma".
Hope it helps!