Confusing error message on frame.__set_item__ with duplicate index entries
Struggled with this for a while to work out why I was getting `TypeError: incompatible index of inserted column with frame index` when doing df['new_col'] = my_series.

Turns out the the series had duplicates in its index. This occured because I was importing a CSV and then setting the index. Perhaps we need a warning when setting an index with duplicate values?

```
In [2]: df = pd.DataFrame({'foo':['a', 'b', 'c'], 'bar':[1,2,3], 'baz':['d','e','f']}).set_index('foo')

In [3]: df
Out[3]:
     bar baz
foo
a      1   d
b      2   e
c      3   f

[3 rows x 2 columns]

In [5]: ser = pd.DataFrame({'foo':['a', 'b', 'c', 'a'], 'fiz':['g','h','i','j']}).set_index('foo')

In [6]: ser
Out[6]:
    fiz
foo
a     g
b     h
c     i
a     j

[4 rows x 1 columns]
In [8]: df['newcol'] = ser
---------------------------------------------------------------------------
TypeError                                 Traceback (most recent call last)
<ipython-input-8-a8d535085de2> in <module>()
----> 1 df['newcol'] = ser

C:\WinPython-64bit-2.7.5.2\python-2.7.5.amd64\lib\site-packages\pandas-0.13.1-py2.7-win-amd64.egg\pandas\core\frame.pyc in __setitem__(self, key, value)
   1885         else:
   1886             # set column
-> 1887             self._set_item(key, value)
   1888
   1889     def _setitem_slice(self, key, value):

C:\WinPython-64bit-2.7.5.2\python-2.7.5.amd64\lib\site-packages\pandas-0.13.1-py2.7-win-amd64.egg\pandas\core\frame.pyc in _set_item(self, key, value)
   1965         is_existing = key in self.columns
   1966         self._ensure_valid_index(value)
-> 1967         value = self._sanitize_column(key, value)
   1968         NDFrame._set_item(self, key, value)
   1969

C:\WinPython-64bit-2.7.5.2\python-2.7.5.amd64\lib\site-packages\pandas-0.13.1-py2.7-win-amd64.egg\pandas\core\frame.pyc in _sanitize_column(self, key, value)
   2008                     value = value.reindex(self.index).values
   2009                 except:
-> 2010                     raise TypeError('incompatible index of inserted column '
   2011                                     'with frame index')
   2012

TypeError: incompatible index of inserted column with frame index
```
