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 looked at the sphinx extension source and don't think there is a way without modifying it. `:okexcept:' basically only prevents sphinx  to write the exception to stdout. 

A `:nostacktrace:` option would be nice...