Last DataFrame column missing when using get_dummies successively
Hello,

I am trying to create dummy columns for the Titanic Kaggle problem data set. The `test.csv` data set in the code below can be obtained [here](https://www.kaggle.com/c/titanic/download/test.csv). 

I am applying `get_dummies` **successively** on columns `Embarked` and `Pclass`:
```
column_names = pd.read_csv("test.csv", nrows=1).columns
df = pd.read_csv("test.csv", skipinitialspace=True,
                           skiprows=1, names = column_names, na_values=-1 )

df = pd.get_dummies(df, columns=["Embarked"]).head()
df = pd.get_dummies(df, columns=["Pclass"]).head()
```


The initial columns, as obtained using `df.columns`, are:

```
Index(['PassengerId', 'Pclass', 'Name', 'Sex', 'Age', 'SibSp', 'Parch',
       'Ticket', 'Fare', 'Cabin', 'Embarked'],
      dtype='object')

```
After running the above code the columns are now:

```
Index(['PassengerId', 'Name', 'Sex', 'Age', 'SibSp', 'Parch', 'Ticket', 'Fare',
       'Cabin', 'Embarked_C', 'Embarked_Q', 'Embarked_S', 'Pclass_2',
       'Pclass_3'],
      dtype='object')

```

Since `drop_first` is not set to `True`, there should be a  column for `Pclass1`.

In fact, we should get the same result as when using `get_dummies` on both columns at once using

`df = pd.get_dummies(df, columns=["Embarked","Pclass"]).head()`

which outputs:

```
Index(['PassengerId', 'Name', 'Sex', 'Age', 'SibSp', 'Parch', 'Ticket', 'Fare',
       'Cabin', 'Embarked_C', 'Embarked_Q', 'Embarked_S', 'Pclass_1',
       'Pclass_2', 'Pclass_3'],
      dtype='object')
```
This is a problem because:

1) it's not possible to drop one categorical level for some columns but not for others
2) one might not realize this behaviour it if there are many columns in the original data set
3) if one writes a pre-processing function using the above code, the DataFrame structure could be different depending on which column get truncated.

<details>
INSTALLED VERSIONS
------------------
commit: None
python: 3.6.1.final.0
python-bits: 64
OS: Linux
OS-release: 4.10.0-33-generic
machine: x86_64
processor: x86_64
byteorder: little
LC_ALL: None
LANG: en_US.UTF-8
LOCALE: en_US.UTF-8

pandas: 0.20.1
pytest: 3.0.7
pip: 9.0.1
setuptools: 36.4.0
Cython: 0.25.2
numpy: 1.13.1
scipy: 0.19.0
xarray: None
IPython: 5.3.0
sphinx: 1.5.6
patsy: 0.4.1
dateutil: 2.6.0
pytz: 2017.2
blosc: None
bottleneck: 1.2.1
tables: 3.3.0
numexpr: 2.6.2
feather: None
matplotlib: 2.0.2
openpyxl: 2.4.7
xlrd: 1.0.0
xlwt: 1.2.0
xlsxwriter: 0.9.6
lxml: 3.7.3
bs4: 4.6.0
html5lib: 0.9999999
sqlalchemy: 1.1.9
pymysql: None
psycopg2: None
jinja2: 2.9.6
s3fs: None
pandas_gbq: None
pandas_datareader: None
</details>
