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?
The lme4 package, which estimates hierarchical models using frequentist methods, has a function called mcmcsamp that allows you to sample from the posterior distribution of the model using MCMC. This currently  works only for linear models, quite unfortunately.
Hierarchical Bayes for R or Python