Refactor connection handling, and clean-up many things.

That's the big refactoring patch I've been sitting on for too long.

First, refactor connection handling to use a uniformed "connection"
concept (class and generic functions API) everywhere, so that the COPY
derived objects just use that in their :source-db and :target-db slots.

Given that, we don't need no messing around with *pgconn* and *myconn-*
and other special variables at all anywhere in the tree.

Second, clean up some oddities accumulated over time, where some parts
of the code didn't get the memo when new API got into place.

Third, fix any other oddity or missing part found while doing those
first two activities, it was long overdue anyway...