[WIP] ENH: Parallelize neighbors search through multiprocessing

I used the most simple approach with `'multiprocessing'` joblib backend. A simple benchmark could be seen [here](http://nbviewer.ipython.org/gist/nmayorov/7531d9b59608ae2d76dc).

This is the issue #3536.
Got it – yeah, it's probably time to make that change. I guess it just confused me that it was bundled into the parallel enhancements. Any way you can factor that out into a separate PR? I think it would be much easier to review that way.