ENH Improve data downloading

[lucyleeow]

As suggested here: #1 (comment)

• Add CircleCI caching
• Add CircleCI config to download files ahead of time rather than in-script (i.e., assume people have downloaded data)
• Add tqdm progress bar to download

[larsoner]

Perhaps try pooch

https://github.com/fatiando/pooch

[choldgraf]

I also have this little guy: https://github.com/choldgraf/download

which is basically an attempt at ripping out MNE-Python's download function into a standalone package.

[larsoner]

Apparently scikit-image switched to pooch, we might try switching MNE-Python to see what it's like (mne-tools/mne-python#8674). CC @GaelVaroquaux in case you're interested, I think we discussed this sort of thing before