Unfortunately, yes, most 21st Century figures are too tall, but I've found a couple that are passable. 21st Century and related lines do make a number of vehicles, though (mostly tanks and airplanes) that work quite nicely with Indy.
I did buy a 21st Century kubelwagen which looks great, but is actually too small to fit many figures comfortably. I was able to cram in Else and Vogel, but now it's home to my legless German soldiers who gave their limbs for customizing purposes. (how the hell they expected to fit actual 21st Century figures, which, as we know, are bigger than Indy figures, I'll never know...)
Speaking of vehicles, Power Team Elite makes a great (and extremely cheap) jeep which looks like it could be straight out of WW2. Here's a picture (though the original colors were a more period appropriate olive green, not tan.) Not sure if this is easy to come by anymore.
I think Power Team Elite's camel (cheap in stores, though not widely available) is a must-buy for the Indy collector. It's appearance is slightly cartoonish, but works well in dioramas. PTE makes a number of other items - a watchtower, camping gear, furniture, etc. which are also good.
Many of the items feature in PTE sets can be bought on Marauders Gun Runners, where you can find pieces of furniture and random do-dads to pad out an Indy diorama (crates, chairs, tables, lockers, etc.) It's also home to the very cheap motorcycle with sidecar that countless customizers have appropriated to fashion into Henry's criminally unreleased conveyance.
You can also find tons of period 1:18 scale die cast cars, though they run a little on the expensive side and it can be hard to fit figures into their unforgiving shapes. However, I've seen a 1938 vintage mercedes staff car put to great use as a set of wheels for Vogel and his Nazi breathen.
21st Century also had a few playsets a number of years back - now hard to find on ebay and such - which would work very well for Indy. I have a couple of them, the fountain and one of the bombed buildings.
I also have the Helms Deep playset, which makes for a decent castle exterior.
I find most Golden Compass figures to be way too tall, but the Nicole Kidman figure works well with the Indy line.
Star Wars, of course, is perfectly compatible, but the outer space styles seldom work. Pick up a couple of the "Rebel Honor Guard" figure, though, for a good generic outfit that could work well in Indy's time and place.
I wish I had the Harry Potter Great Hall. A number of Harry Potter figures are well-proportioned with the Indy figures, though many of them tend to be too tall, particularly more recent releases.
A few figures from the DC Infinite Heroes line like Commissioner Gordon and the Question have good bodies for custom fodder, though many don't necessarily like the look of those figures in terms of joints and construction. The shoulders are the biggest problem, IMO.
Here is a page where I posted some comparison pics of some figures that I thought would make good Indy custom fodder -
http://raven.theraider.net/showthread.php?t=13985&page=23
In short, good figures to use in the Indy verse are hard to come by, but there are options out there if you're willing to search for them.