[MRG+1] don't set trailing "_" attrs in __init__

As I said over at gh-3627, 

> we need to fix all the `__init__`s that set final-underscore attributes. Some of them set those to None or similar values. [...] we should do a systematic search of the codebase and introduce a smoke test.

I did just that.

Note: code uses `getattr(self, "someattr_", None) is None` instead of `hasattr`, in an attempt to be backwards compatible with pickled estimators that have these attributes. I'm not sure how important that is (who would pickle before fit?) and unpickling is not tested.
Good point, but the error message would become less obvious.