MRG: scipy.sparse coef_ on linear models

This PR adds `sparsify` and `densify` methods on linear models that support L1 regularization.

Before merge, we should:
* agree on the names of these methods (`sparsify_coef` is more explicit and maybe less ambiguous, but also longer)
* do the same trick on other estimators, as appropriate (can someone tell me which ones?)

Subsumes #1702.