Can i play an action and response to myself with another action?

For example, can i play Entropy and in response Will of Tzeentch, to discard two cards from opponent deck and discarding his hand?

Yes. (to be, more precise you play it in reaction, not in response).

Note that you can also do that by playing entropy resolve it and then play will of tzeentch.

You play an action, wait for an opponents response first and if he has none, you can choose to play another action on the stack and wait for opponents response again.

Not sure is something is lost or changed in translation, but "in response to" is the correctly terminology.

And what you described is possible, but you're opponent will have the first opportunity to respond to your actions. So the full play-by-play would be:

1. You play Entropy
2. Your opponent passes, choosing not to respond to Entropy
3. You play Will

Then when you and your opponent consecutively pass priority, the stack will resolve LIFO.

Thanks!