Breakage when setting MultiIndex with a mutable sequence
``` python
import pandas as pd
df=pd.DataFrame({"a":[1,2,3],"b":[4,5,6],"c":[7,8,9]}).set_index(["a","b"])
l=list(df.index)
l[0]=("faz","boo")
df.index=l
print df
# all good
l[0]=["faz","boo"]
df.index=l
print df
# badness
```

If this acceptable usage and index entries must be immutable, failing early would be good.

**Note:** If you get an `UnboundLocalError` Exception, That's an un-related issue, PR fix as soon
as travis is green.
