I take a somewhat different approach to defining a function to make subscripted variables in of the requested form. The algorithm doesn't differ substantially from the one used by Rod Lm; the difference lies in the way I use multiple function definitions, pattern matching, and destructuring of the formal argument sequences.

    SetAttributes[fancySubscript, HoldFirst]
    fancySubscript[var_Symbol, tag_String, index_Integer] /; 
        Not[ValueQ[var]] :=
      Subscript[var, tag <> ToString[index]]
    fancySubscript[var_Symbol, tags : {_String ..}, index_Integer] /; 
        Not[ValueQ[var]] :=
      fancySubscript[var, #, index] & /@ tags
    fancySubscript[var_Symbol, tags : {_String ..}, 
       indices : {_Integer ..}] /; Not[ValueQ[var]] :=
      fancySubscript[var, tags, #] & /@ indices

The condition `Not[ValueQ[var]` ensures that `fancySubscript` doesn't accept variables having values.

    a = 42; fancySubscript[a, "tag", 2]
>fancySubscript[a, "tag", 2]

The overloaded definitions ensure that `fancySubscript` accepts all the following forms:

    fancySubscript[b, "tag", 2]
> $b_{\text{tag2}}$  

    fancySubscript[b, {"foo", "bar", "baz"}, 2]
>$\left\{b_{\text{foo2}},b_{\text{bar2}},b_{\text{baz2}}\right\}$

    fancySubscript[b, {"foo", "bar", "baz"}, Range@3]
>$\left(
\begin{array}{ccc}
 b_{\text{foo1}} & b_{\text{bar1}} & b_{\text{baz1}} \\
 b_{\text{foo2}} & b_{\text{bar2}} & b_{\text{baz2}} \\
 b_{\text{foo3}} & b_{\text{bar3}} & b_{\text{baz3}} \\
\end{array}
\right)$

###Edit

To answer the question raised in a comment by Alex, it is easy to change `fancySubscript` to do double indexing, rather than concatenating the tags and indices. The only modification required is to redefine the first definition of `fancySubscript` as

    fancySubscript[var_Symbol, tag_String, index_Integer] /; 
        Not[ValueQ[var]] := 
      Subscript[var, tag, index]

With this change, for example,

    fancySubscript[b, {"foo", "bar", "baz"}, 2]

gives

>$\left\{b_{\text{foo},2},b_{\text{bar},2},b_{\text{baz},2}\right\}$