pandas/conftest.py refactoring
As stated in [this review comment](https://github.com/pandas-dev/pandas/pull/31701#pullrequestreview-359291503) from jreback, we should address some refactoring issues in `pandas/conftest.py`:
- [x] create the indices fixture using `tm.all_index_generator` as suggested [by jbrockmendel in this comment](https://github.com/pandas-dev/pandas/pull/31701#discussion_r378532760)
- [x] all fixtures and functions should have a docstring
- [x] add sections, i.e. "some text markers so reading the file is easy"
- [ ] remove/avoid imports from `conftest.py`