ENH: Select what to return when list is empty in explode
#### Is your feature request related to a problem?

I have used explode function over a df that has sometimes an empty list. The empty list return a `nan`, that raises problems in posteriors processing, because pandas detect them as floats. 

#### Describe the solution you'd like

Explode could have a new argument called `return_value_when_empty` or something like that (probably a better and/or shorter name) that allows you to define what to return when a particular row has an empty list. For instance, it could be an empty dict, an empty list, a string, integer or whatever. 

This way you don't have to use fillna (or more complicated things if fillna doesn't work i.e https://stackoverflow.com/questions/25898888/pandas-replace-all-nan-values-in-dataframe-with-empty-python-dict-objects)
