Impossible to load compressed csv
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Hi @Valahaar, thanks for reporting and for your investigation about the source cause.

You are right and that commit prevents `pandas` from inferring the compression. On the other hand, @lhoestq did that change to support loading that dataset in streaming mode. 

I'm fixing it.
## Describe the bug
It is not possible to load from a compressed csv anymore.

## Steps to reproduce the bug
```python
load_dataset('csv', data_files=['/path/to/csv.bz2'])
```

## Problem and possible solution
This used to work, but the commit that broke it is [this one](https://github.com/huggingface/datasets/commit/ad489d4597381fc2d12c77841642cbeaecf7a2e0#diff-6f60f8d0552b75be8b3bfd09994480fd60dcd4e7eb08d02f721218c3acdd2782).

`pandas` usually gets the compression information from the filename itself (which was previously directly passed). Now, since it gets a file descriptor, it might be good to auto-infer the compression or let the user pass the `compression` kwarg to `load_dataset` (or maybe warn the user if the file ends with a commonly known compression scheme?).

## Environment info
- `datasets` version: 1.10.0 (and over)
- Platform: Linux-5.8.0-45-generic-x86_64-with-glibc2.17
- Python version: 3.8.10
- PyArrow version: 3.0.0

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