Index.copy() ignores name/names arguments
Passing in a name or names arguments to Index.copy doesn't set the name on the resulting index. This fails to work as the docs indicate on both Index and MultiIndex.

``` python
import pandas as pd
index = pd.Index([1,2], name='MyName')
print index.name

cloned_index_1 = index.copy(name='NewName')
print cloned_index_1.name

cloned_index_2 = index.copy(names='NewName')
print cloned_index_2.name

cloned_index_3 = index.copy(names=['NewName'])
print cloned_index_3.name

multi_index = pd.Index([(1, 2), (3, 4)], names=['MyName1', 'MyName2'])
print multi_index.names

multi_index_1 = multi_index.copy(names=['NewName1', 'NewName2'])
print multi_index_1.names
```

```
MyName
MyName
MyName
MyName
[u'MyName1', u'MyName2']
[u'MyName1', u'MyName2']
```
