Here is a solution based on changemargin environment
Edit: This does not answer the question of displayed equations
\documentclass{amsart}
\newtheoremstyle{ugh}
{3pt}% hSpace above
{3pt}% hSpace below
{}% hBody font
{}% hIndent amount
{\bfseries}% hTheorem head font
{:}% hPunctuation after theorem head
{.5em}% hSpace after theorem head
{}% hTheorem head spec (can be left empty, meaning ‘normal’)
\theoremstyle{ugh}
\newtheorem{eexample}{Example}
\newenvironment{changemargin}{%
\begin{list}{}{%
\setlength{\topsep}{0pt}%
\setlength{\leftmargin}{1cm}%
\setlength{\rightmargin}{1cm}%
\setlength{\listparindent}{\parindent}%
\setlength{\itemindent}{\parindent}%
\setlength{\parsep}{\parskip}%
}%
\item[]}{\end{list}}
\newenvironment{example}{%
\begin{changemargin}\vskip-\baselineskip
\begin{eexample}}{%
\end{eexample}\end{changemargin}}
\usepackage{lipsum}
\begin{document}
\lipsum[1-2]
\begin{example}
% I want this automatically indented a bit at both sides for any example
\lipsum[3-4] \qed
\end{example}
\lipsum[5-6]
\end{document}
If
\documentclass{amsart}
replaced by
\documentclass[leqno]{article}
\usepackage{amsmath,amsthm}
it will be correct.
Edit: Complete solution with amsart This not the proper way but it does the job
\documentclass{amsart}
\newtheoremstyle{ugh}
{3pt}% hSpace above
{3pt}% hSpace below
{}% hBody font
{}% hIndent amount
{\bfseries}% hTheorem head font
{:}% hPunctuation after theorem head
{.5em}% hSpace after theorem head
{}% hTheorem head spec (can be left empty, meaning ‘normal’)
\theoremstyle{ugh}
\newtheorem{eexample}{Example}
\newenvironment{changemargin}{%
\begin{list}{}{%
\setlength{\topsep}{0pt}%
\setlength{\leftmargin}{1cm}%
\setlength{\rightmargin}{1cm}%
\setlength{\listparindent}{\parindent}%
\setlength{\itemindent}{\parindent}%
\setlength{\parsep}{\parskip}%
}%
\item[]%
}{\end{list}}
\newenvironment{example}{%
\begin{changemargin}%
\eeq\vskip-\baselineskip%
\begin{eexample}}{%
\end{eexample}\end{changemargin}}
\usepackage{lipsum}
\makeatletter\def\eeq{% this may be bad idea
\def\maketag@@@##1{\makebox[1.5cm][r]{\m@th\normalfont##1}}}
\makeatother
\begin{document}
\lipsum[1-2]
\begin{example}
% I want this automatically indented a bit at both sides for any example
\lipsum[3-4]
\begin{equation}
x+y
\end{equation}
\qed
\end{example}
\lipsum[5-6]
\end{document}
\theoremstylecommand using\newgeometryof the geometry package, which adjust the right margin, but not the left margin. – JPi Mar 30 '15 at 14:24