This function helps to do a one hot encoding of a pandas' dataframe instead of a features numpy matrix. This has some advantages, for instance the fact of knowing which new columns have been created (identifying them easily).

onehot_pandas_scikit.py

# -*- coding: utf-8 -*-
""" Small script that shows hot to do one hot encoding
    of categorical columns in a pandas DataFrame.

    See:
    http://scikit-learn.org/dev/modules/generated/sklearn.preprocessing.OneHotEncoder.html#sklearn.preprocessing.OneHotEncoder
    http://scikit-learn.org/dev/modules/generated/sklearn.feature_extraction.DictVectorizer.html
"""
import pandas
import random
import numpy
from sklearn.feature_extraction import DictVectorizer


def one_hot_dataframe(data, cols, replace=False):
    """ Takes a dataframe and a list of columns that need to be encoded.
        Returns a 3-tuple comprising the data, the vectorized data,
        and the fitted vectorizor.
    """
    vec = DictVectorizer()
    vecData = pd.DataFrame(vec.fit_transform(data[cols].to_dict(outtype='records')).toarray())
    vecData.columns = vec.get_feature_names()
    vecData.index = data.index
    if replace is True:
        data = data.drop(cols, axis=1)
        data = data.join(vecData)
    return (data, vecData, vec)


def main():

    # Get a random DataFrame
    df = pandas.DataFrame(numpy.random.randn(25, 3), columns=['a', 'b', 'c'])

    # Make some random categorical columns
    df['e'] = [random.choice(('Chicago', 'Boston', 'New York')) for i in range(df.shape[0])]
    df['f'] = [random.choice(('Chrome', 'Firefox', 'Opera', "Safari")) for i in range(df.shape[0])]
    print df

    # Vectorize the categorical columns: e & f
    df, _, _ = one_hot_dataframe(df, ['e', 'f'], replace=True)
    print df

if __name__ == '__main__':
    main()

xx Example output

Example output 

Original DataFrame
------------------
           a         b         c         e        f
0  -0.219222 -0.368154  0.388479  New York    Opera
1   1.879536 -0.033210 -0.099437  New York  Firefox
2   0.909419 -0.498084  0.084163  New York   Safari
3  -0.002199 -0.692806 -0.844436  New York    Opera
4  -0.109549 -0.367305 -0.520999   Chicago  Firefox
5  -0.400515 -1.202466 -1.664337  New York   Chrome
6  -2.241892 -0.888160 -0.332380  New York   Chrome
7  -0.432767 -1.794931  0.975878   Chicago   Chrome
8  -1.401193 -0.478224  0.112729   Chicago   Safari
9  -1.493518  0.584824  0.652820  New York    Opera
10  0.525359 -0.885912  0.474492    Boston  Firefox
11  0.671226 -0.733788  0.272915    Boston   Chrome
12  0.775901 -0.163745  0.628414    Boston    Opera
13 -1.158007 -0.495240  1.183522  New York   Chrome
14 -1.200085  1.083380 -0.692171    Boston   Safari
15  0.872763 -2.119172 -0.169185    Boston   Chrome
16  1.423514 -1.802891 -2.947628    Boston   Safari
17 -0.547940 -0.788654 -1.065005    Boston   Safari
18 -0.380440  2.050783  1.548453  New York  Firefox
19 -0.095913  1.260104  0.196552    Boston    Opera
20 -1.558961  1.240931 -0.165927    Boston   Safari
21  1.111618 -0.309371 -0.803404   Chicago   Chrome
22  0.348182 -1.200900  0.307754  New York  Firefox
23 -0.834901  0.188590 -1.115227  New York   Chrome
24  1.463240 -1.559017  0.954684  New York   Chrome

Encoded DataFrame
-----------------
           a         b         c  e=Boston  e=Chicago  e=New York  f=Chrome  f=Firefox  f=Opera  f=Safari
0  -0.219222 -0.368154  0.388479         0          0           1         0          0        1         0
1   1.879536 -0.033210 -0.099437         0          0           1         0          1        0         0
2   0.909419 -0.498084  0.084163         0          0           1         0          0        0         1
3  -0.002199 -0.692806 -0.844436         0          0           1         0          0        1         0
4  -0.109549 -0.367305 -0.520999         0          1           0         0          1        0         0
5  -0.400515 -1.202466 -1.664337         0          0           1         1          0        0         0
6  -2.241892 -0.888160 -0.332380         0          0           1         1          0        0         0
7  -0.432767 -1.794931  0.975878         0          1           0         1          0        0         0
8  -1.401193 -0.478224  0.112729         0          1           0         0          0        0         1
9  -1.493518  0.584824  0.652820         0          0           1         0          0        1         0
10  0.525359 -0.885912  0.474492         1          0           0         0          1        0         0
11  0.671226 -0.733788  0.272915         1          0           0         1          0        0         0
12  0.775901 -0.163745  0.628414         1          0           0         0          0        1         0
13 -1.158007 -0.495240  1.183522         0          0           1         1          0        0         0
14 -1.200085  1.083380 -0.692171         1          0           0         0          0        0         1
15  0.872763 -2.119172 -0.169185         1          0           0         1          0        0         0
16  1.423514 -1.802891 -2.947628         1          0           0         0          0        0         1
17 -0.547940 -0.788654 -1.065005         1          0           0         0          0        0         1
18 -0.380440  2.050783  1.548453         0          0           1         0          1        0         0
19 -0.095913  1.260104  0.196552         1          0           0         0          0        1         0
20 -1.558961  1.240931 -0.165927         1          0           0         0          0        0         1
21  1.111618 -0.309371 -0.803404         0          1           0         1          0        0         0
22  0.348182 -1.200900  0.307754         0          0           1         0          1        0         0
23 -0.834901  0.188590 -1.115227         0          0           1         1          0        0         0
24  1.463240 -1.559017  0.954684         0          0           1         1          0        0         0