Feature Selection ease-of-use Improvements

As mentioned on the mailing list, this is a PR to improve the ease of use of feature selection in sklearn :

1) Documentation
- put a bit more detailed explanations in the narrative docs

2) GradientBoostingClassifier 
- should implement `transform()` to perform feature selection based on computed features importance

For 1) I would basically touch a few areas of the docs pointed in the ML.

For 2) I'm considering a simple strategy : make `GradientBoostingClassifier` derive from `_LearntSelectorMixin` and see if the tests pass. If anyone has more clever ideas, let me know :)