Categorical fixups

Some fixups for Categoricals.

Fixes: #3678 

* [x] Maybe change Series.cat after the discussion in https://github.com/pydata/pandas/issues/7207 ?
* [ ] remove Series.cat from tab completition if Series is not of dtype category
* [x] fix for the "FIXME" in unittests
* [x] Look at problems in docs (-> hdf support)
* [x] Fixup Comparison thingies...
I haven't found a way to do that. Just letting the exception happen results in long stacktraces and I don't like codeblocks, where the exception message has to be manually inserted (and maintained). Maybe that would be a nice PR for the ipython directive....