Hierarchical Bayes models are commonly used in Marketing, Political Science, and Econometrics. Yet, the only package I know of is bayesm, which is really a companion to a book (Bayesian Statistics and Marketing, by Rossi, et al.) Am I missing something? Is there a software package for R or Python doing the job out there, and/or a worked-out example in the associated language?
I apply hierarchical Bayes models in R in combination with JAGS (Linux) or sometimes WinBUGS (Windows, or Wine).  Check out the book of Andrew Gelman, as referred to above.
Hierarchical Bayes for R or Python