TST: pytest.raises vs. tm.assert_raises_regex
I'm wondering whether we should explicitly say in the docs that we prefer `tm.assert_raises_regex` over `pytest.raises` <em>unless</em> there is no error message to provide.  The former is a lot more informative from a dev-perspective as to why certain code should fail.

Thoughts?

(If we can agree that we do prefer the former, I also move to convert some of the tests to use `tm.assert_raises_regex` instead of `pytest.raises`).