Groupby as index
closes #4648
closes #3417
closes #4649 (pr)

```
In [1]: df = pd.DataFrame([[1, 2], [2, 3], [1, 4], [1, 5], [2, 6]], index=list('abcde'))

In [2]: g = df.groupby(0, as_index=False)

In [3]: g.apply(lambda x: x)
Out[3]: 
   0  1
a  1  2
b  2  3
c  1  4
d  1  5
e  2  6

In [4]: g.head(2)
Out[4]: 
   0  1
a  1  2
c  1  4
b  2  3
e  2  6
```

@jreback also, this fix seems stupidly trivial, but ok to merge too?

I think there may be some more to do on the `as_index` thing (will keep a look out for similar) but this is a good start.
 this closes all those? give you a prize of bang-for-the-buck!

go ahead (and stince as_index prob not used too much)..be on lookout
