[MRG] Regression metrics return arrays for multi-output cases

Hi, I tried to solve issue https://github.com/scikit-learn/scikit-learn/issues/2200 . It now returns arrays for multi-output cases.

- [x] - Consensus on what the default argument to output_weights should be. Micro or Macro averaging.
- [x] - On what the keyword should be output_weights or multi_output as @GaelVaroquaux  as suggested.
 
Once there is a consensus on these two things, this can be merged.