ENH: improve DataFrame read_csv / to_csv for Index/MultiIndex
2 issues for DataFrame.to_csv

1 ) If header and index are True, you should write something for an index header, even if index_level is None.
2) If given a MultiIndex, don't want to just call str() on each element.

Also fixed read_csv to take an iterable for index_col so that I could write tests.

I haven't looked at the similar methods in Series or the other to_\* methods yet. This is all I needed at the moment.

Aside: it looks like in test_frame setUp isn't a classmethod and is called for each test method. Not a big deal, but might be a little heavy in the test suite.
