RFC: dense blkdiag

I needed this earlier this week. This is a truly naive approach, and I'm sure it can be improved, but it does seem to get the job done.

cf. #5828
I'm not really sure what's best. If the surrounding code is sparse, you're going to want this to be an empty sparse array, too.

What would the syntax for an empty, Any-typed 2D array be? `Matrix{Any}()`?