WIP: Add docstring checks

Fixes many issues with our docs and docstrings. WIP because I needed to update our doc-building scripts but I can't check to make sure they actually work because Sphinx won't build the docs on my Windows laptop.

However, the substantive docstring fixes are done. @dengemann @mainakjas @agramfort please check to make sure you're happy with the changes I made, because some of the docstring errors could be dealt with in multiple ways.

Closes #1720. @agramfort if you're feeling bored, do you want to take over the doc building updates? I might not be able to get to it until next week. Basically I copied many changes over from the latest sklearn code.