Add url prefix convention for many compression formats
Thanks for the feedback :) I will also complete the documentation to explain this convention I just added some documentation about how streaming works with chained URLs.

I will also add some docs about how to use chained URLs directly in `load_dataset` in #2662, since #2662 does change the documentation already and to avoid having to resolve conflicts. Merging this one now, next step is resolve the conflicts in #2662 and update the docs for URL chaining :)

There is also the glob feature of zip files that I need to add, to be able to do this for example:
```python
load_dataset("json", data_files="zip://*::https://foo.bar/archive.zip")
```
## Intro

When doing dataset streaming, the uncompression of compressed files is done on the fly using `fsspec`.

In particular, the download manager method `download_and_extract` doesn't return a path to the local download and extracted file, but instead a chained URL so that the uncompression can be done when the file is opened. A few examples of chained URLS:
- `gz://file.txt::https://foo.bar/file.txt.gz`
- `bz2://file.txt::https://foo.bar/file.txt.bz2`
- `zip://::https://foo.bar/archive.zip`
- `tar://::https://foo.bar/archive.tar.gz` (the TAR uncompression includes gz, bz2 etc. uncompression in `fsspec`)

This syntax is highly inspired by the `fsspec` URL chaining syntax from https://filesystem-spec.readthedocs.io/en/latest/features.html#url-chaining

This url prefixing allows `open` to know what kind of uncompression to do in a dataset script when doing
```python
def _generate_examples(self, urlpath):
    with open(urlpath) as f:
        ....
```

## What it changes

This changes the previous behavior from https://github.com/huggingface/datasets/pull/2786 , in which `open` was trying to infer the compression automatically. Infering the compression made it impossible to know whether the user wanted `open` to return compressed data (as the default behavior of the buitin open), or the uncompressed data. By adding uncompression prefixes to the URL, `open` know directly if it has to uncompress or not, and also which protocol to use.

## Additional notes

This PR should close https://github.com/huggingface/datasets/issues/2813

It should also close this PR https://github.com/huggingface/datasets/pull/2811 since the oscar dataset script won't try to uncompress twice anymore

Note that I had to temporarily remove the support for passing tar and zip files to `data_files` for streaming to make it work, since it makes it ambiguous whether a zip file passed as `data_files` should be uncompressed or not. IMO we can make it work again by changing the syntax to make the glob explicit:
```python
load_dataset("json", data_files="zip://*.jsonl::https://foo.bar/archive.zip")
```
This is the exact same convention as fsspec and it removes all ambiguities

cc @albertvillanova @lewtun 