Index with Categorical dtype
Currently categorical data is converted to full form when made an index.

``` python
In [1]: import pandas as pd

In [2]: df = pd.DataFrame({'a': pd.Categorical(['a', 'b', 'a'])}, 
...                       index=pd.Categorical(['a', 'b', 'a'])) 
In [3]: df.dtypes 
Out[3]: 
a    category
dtype: object

In [4]: df.index.dtype 
Out[4]: dtype('O')

In [5]: df.index 
Out[5]: Index([u'a', u'b', u'a'], dtype='object')
```

Is there a way around this?  I'm trying to keep my DataFrames free of object dtypes to reduce serialization costs.  I would like to index off of a text column using categoricals.

This is with `0.15.2`
