ENH: add from_dummies
Just a first draft

Will close #8745 

Screenshot of examples

![image](https://user-images.githubusercontent.com/33491632/74546261-3989f600-4f42-11ea-98e0-14c8ae4658ff.png)

Hello @MarcoGorelli! Thanks for updating this PR. We checked the lines you've touched for [PEP 8](https://www.python.org/dev/peps/pep-0008) issues, and found:











There are currently no PEP 8 issues detected in this Pull Request. Cheers! :beers: 

##### Comment last updated at 2020-04-18 10:00:29 UTC @WillAyd have made some updates. See screenshots in original post for examples.

Have removed `fill_first`. Haven't added equivalents of `dummy_na` or `sparse` - would you prefer to get a bare-bones implementation out first and add those in future PRs, or should I add them now? @WillAyd thanks for your review, have updated @MarcoGorelli did you see this impl: https://github.com/pandas-dev/pandas/issues/8745#issuecomment-630924929.

I also don't see why we would ever return anyting but a Series / Categorical here. can you elaborate? > @MarcoGorelli did you see this impl: [#8745 (comment)](https://github.com/pandas-dev/pandas/issues/8745#issuecomment-630924929).
> 
> I also don't see why we would ever return anyting but a Series / Categorical here. can you elaborate?

I hadn't, thanks for pointing me towards it! @clbarnes that looks good, are you interested in taking over this issue with your implementation? I can do if you'd prefer that strategy - will need to have a think about the requirements, e.g. what kind of incorrect inputs should it try to gracefully handle, handling masked arrays and NA and so on. That's probably discussion for the issue though.

I personally err on the side of being less permissive than pandas is generally so it may end up being pretty constrained, if that's OK with the maintainers. > I can do if you'd prefer that strategy

Sure, go ahead! I'll close this PR then, though please let me know if for whatever reason you chose not to work on this