ENH: Add Series.set_index
- [X] closes #27058, #21684
- [X] whatsnew entry
- [x] append and list of levels (like `DataFrame.set_index` has)
- [ ] tests added / passed

Help users method-chain all the things. This is modeled closely on the original support for Arrays added in 2011 by Wes Mckinney in   

553bacc7abe341991e4d043a5c17521902c7f127 `ENH: can pass external arrays in lieu of column names to DataFrame.set_index`

This is also how `DataFrame.set_index` behaves (though poorly documented), modulo support for column keys which don't apply here.

related discussion #24046, and end of https://github.com/pandas-dev/pandas/issues/14829#issuecomment-404884912, https://github.com/pandas-dev/pandas/issues/12392