set 2 layers of index

In [1]: arrays = [['bar', 'bar', 'baz', 'baz', 'foo', 'foo', 'qux', 'qux'],
   ...:           ['one', 'two', 'one', 'two', 'one', 'two', 'one', 'two']]
   ...: 

In [2]: tuples = list(zip(*arrays))

In [3]: tuples
Out[3]: 
[('bar', 'one'),
 ('bar', 'two'),
 ('baz', 'one'),
 ('baz', 'two'),
 ('foo', 'one'),
 ('foo', 'two'),
 ('qux', 'one'),
 ('qux', 'two')]

In [4]: index = pd.MultiIndex.from_tuples(tuples, names=['first', 'second'])

In [5]: index
Out[5]: 
MultiIndex([('bar', 'one'),
            ('bar', 'two'),
            ('baz', 'one'),
            ('baz', 'two'),
            ('foo', 'one'),
            ('foo', 'two'),
            ('qux', 'one'),
            ('qux', 'two')],
           names=['first', 'second'])

In [6]: s = pd.Series(np.random.randn(8), index=index)

In [7]: s
Out[7]: 
first  second
bar    one       0.469112
       two      -0.282863
baz    one      -1.509059
       two      -1.135632
foo    one       1.212112
       two      -0.173215
qux    one       0.119209
       two      -1.044236
dtype: float64