ENH: add gzip/bz2 compression to read_pickle() (and perhaps other read_*() methods)
Right now, `read_csv()` has a `compression` option, which allows the user to pass in a gzipped or bz2-compressed CSV file directly into Pandas to be read. It would be great if `read_pickle()` supported the same option. Pickles actually compress surprisingly well; I have a 567M Pandas pickle (resulting from `DataFrame.to_pickle()`) that packs down to 45M with `pigz --best`. An order of magnitude difference in size is pretty significant. This makes storing static pickles long-term as gzipped archives a very attractive option. Workflow would be made easier if Pandas could natively handle my `dataframe.pickle.gz` files in the same way it does compressed CSV files.

More generally, a `compression` option should probably be allowed for most `read_*` methods. Many of the `read_*` methods involve formats that compress very well.
