Issue: load_dataset('openwebtext') yields "Compressed file ended before the end-of-stream marker was reached"

## Describe the bug
When I try `load_dataset('openwebtext')`, I receive a "EOFError: Compressed file ended before the end-of-stream marker was reached" error.

## Steps to reproduce the bug
```
from datasets import load_dataset
dataset = load_dataset('openwebtext')
```

## Expected results
I expect the `dataset` variable to be properly constructed.

## Actual results

```
File "/home/rschaef/CoCoSci-Language-Distillation/distillation_v2/ratchet_learning/tasks/base.py", line 37, in create_dataset
    dataset_str,
  File "/home/rschaef/CoCoSci-Language-Distillation/cocosci/lib/python3.6/site-packages/datasets/load.py", line 1117, in load_dataset
    use_auth_token=use_auth_token,
  File "/home/rschaef/CoCoSci-Language-Distillation/cocosci/lib/python3.6/site-packages/datasets/builder.py", line 637, in download_and_prepare
    dl_manager=dl_manager, verify_infos=verify_infos, **download_and_prepare_kwargs
  File "/home/rschaef/CoCoSci-Language-Distillation/cocosci/lib/python3.6/site-packages/datasets/builder.py", line 704, in _download_and_prepare
    split_generators = self._split_generators(dl_manager, **split_generators_kwargs)
  File "/home/rschaef/.cache/huggingface/modules/datasets_modules/datasets/openwebtext/85b3ae7051d2d72e7c5fdf6dfb462603aaa26e9ed506202bf3a24d261c6c40a1/openwebtext.py", line 61, in _split_generators
    dl_dir = dl_manager.download_and_extract(_URL)
  File "/home/rschaef/CoCoSci-Language-Distillation/cocosci/lib/python3.6/site-packages/datasets/utils/download_manager.py", line 284, in download_and_extract
    return self.extract(self.download(url_or_urls))
  File "/home/rschaef/CoCoSci-Language-Distillation/cocosci/lib/python3.6/site-packages/datasets/utils/download_manager.py", line 261, in extract
    partial(cached_path, download_config=download_config), path_or_paths, num_proc=num_proc, disable_tqdm=False
  File "/home/rschaef/CoCoSci-Language-Distillation/cocosci/lib/python3.6/site-packages/datasets/utils/py_utils.py", line 197, in map_nested
    return function(data_struct)
  File "/home/rschaef/CoCoSci-Language-Distillation/cocosci/lib/python3.6/site-packages/datasets/utils/file_utils.py", line 316, in cached_path
    output_path, force_extract=download_config.force_extract
  File "/home/rschaef/CoCoSci-Language-Distillation/cocosci/lib/python3.6/site-packages/datasets/utils/extract.py", line 40, in extract
    self.extractor.extract(input_path, output_path, extractor=extractor)
  File "/home/rschaef/CoCoSci-Language-Distillation/cocosci/lib/python3.6/site-packages/datasets/utils/extract.py", line 179, in extract
    return extractor.extract(input_path, output_path)
  File "/home/rschaef/CoCoSci-Language-Distillation/cocosci/lib/python3.6/site-packages/datasets/utils/extract.py", line 53, in extract
    tar_file.extractall(output_path)
  File "/usr/lib/python3.6/tarfile.py", line 2010, in extractall
    numeric_owner=numeric_owner)
  File "/usr/lib/python3.6/tarfile.py", line 2052, in extract
    numeric_owner=numeric_owner)
  File "/usr/lib/python3.6/tarfile.py", line 2122, in _extract_member
    self.makefile(tarinfo, targetpath)
  File "/usr/lib/python3.6/tarfile.py", line 2171, in makefile
    copyfileobj(source, target, tarinfo.size, ReadError, bufsize)
  File "/usr/lib/python3.6/tarfile.py", line 249, in copyfileobj
    buf = src.read(bufsize)
  File "/usr/lib/python3.6/lzma.py", line 200, in read
    return self._buffer.read(size)
  File "/usr/lib/python3.6/_compression.py", line 68, in readinto
    data = self.read(len(byte_view))
  File "/usr/lib/python3.6/_compression.py", line 99, in read
    raise EOFError("Compressed file ended before the "
python-BaseException
EOFError: Compressed file ended before the end-of-stream marker was reached
```


## Environment info
- `datasets` version: 1.12.1
- Platform: Linux-4.4.0-173-generic-x86_64-with-Ubuntu-16.04-xenial
- Python version: 3.6.10
- PyArrow version: 5.0.0

Comments:
Hi @RylanSchaeffer, thanks for reporting.

I'm sorry, but I was not able to reproduce your problem.

Normally, the reason for this type of error is that, during your download of the data files, this was not fully complete.

Could you please try to load the dataset again but forcing its redownload? Please use:
```python
dataset = load_dataset("openwebtext", download_mode="FORCE_REDOWNLOAD")
```

Let me know if the problem persists.

I close this issue for the moment. Feel free to re-open it again if the problem persists.