[MRG] ENH add a benchmark on mnist

I have extracted and improved the benchmark of https://github.com/scikit-learn/scikit-learn/pull/3204 on mnist.
This will be helpful whenever you want to bench and compare new algorithms (ELM, multilayer neural network, ...).
Is the same treatment needed in theory, or are there problems with nested `n_jobs != 1` using multiprocessing?