[ENH] Save data with compression

[lanzagar]

1. Saving with compression was prevented due to a file format extension check that used only the last extension (in e.g. file.tab.gz)
2. Compression was not supported when saving and loading in pickle format
3. Changed default extension for PickleReader from .pickle to the shorter .pkl (both were supported before and still are).

[BlazZupan]

Works as intended on Mac. Nice :-).

[codecov-io]

Codecov Report

Merging #3047 into master will increase coverage by <.01%.
The diff coverage is 72.72%.

@@            Coverage Diff             @@
##           master    #3047      +/-   ##
==========================================
+ Coverage   82.37%   82.38%   +<.01%     
==========================================
  Files         335      335              
  Lines       57812    57973     +161     
==========================================
+ Hits        47622    47759     +137     
- Misses      10190    10214      +24

[lanzagar]

I improved the OSX workaround (compression extensions were repeated),
and used it on windows as well (although .gz worked after another extension, .xz and .bz2 did not).

Should work on all platforms now.