CLN: avoid _internal_get_values in Categorical.__iter__
LGTM. Isn't there a performance improvement here, because we avoid creating the list? > Isn't there a performance improvement here, because we avoid creating the list?

Definitely should be better on memory, speed should be a wash  Still, memory usage and speed are usually two sides of the same thing in numerical computing, e.g.

```python
>>> cat = pd.Categorical(range(100_000))
>>> for i, x in enumerate(cat):
...    if i> 10: break
...    else: # do something
```

should be considerably faster in the new impl, i.e. partial iteration of categoricals will be considerable faster. Worth a whatsnew note? Its appreciably faster when iterating over only a few elements, but slower when iterating over everything IMO converting scalar by scalar is the reasonable thing to do in ``__iter__`` and accepting that this is slower than a full-array vector op is reasonable.

So I'd be ok with this, even if this is significantly slower than a full-array vector version, and IMO ``_iter__`` should be considered a specialty method to be used only in a specific use cases, where full-array op performance is not a concern. There are still some use cases where iter is actually used for full-array conversions, like conversion to list (although it can also be questionable if conversion to list should be our prime target to optimize for iter).

Eg:

```
cat = pd.Categorical.from_codes(np.random.randint(0,100,100000), categories=pd.date_range("2000", periods=100))
%timeit list(cat)
```

goes from 220 ms to 1.6 s based on a quick test. 

(this specific example might be a reason to have a `tolist` method, but I assume there are similar other use cases)

In some other `__iter__`'s, we actually do it in chunks, eg

https://github.com/pandas-dev/pandas/blob/db9a50c1c5c028b4aa1df31add90aa89b2dfcafb/pandas/core/arrays/datetimes.py#L554-L575

which I suppose keeps a bit a middle ground between memory benefit of lazy iteration vs performance of vectorized conversion. Interesting, ``list`` calls ``__iter__``, so I assume it's not possible to optimize that, though ``Categorical.tolist`` could have an optimized path.

Also, iterating over arrays is in a lot of cases a code smell, so I would not mind prioritizing clean code over performance and @jbrockmendel PR is certainly more readable the the old code and recommend people  use ``cat.to_list()`` over ``list(cat)`` if performance when creating lists is a concern.. > Can you check the performance of this for some different dtypes for the categories? 


```
In [3]: arr = np.arange(10**6)                                                                                                                                                    
In [4]: cat = pd.Categorical(arr)                                                                                                                                                 
In [5]: %timeit res = list(cat)                                                                                                                                                   
4.38 s ± 116 ms per loop (mean ± std. dev. of 7 runs, 1 loop each)  # <-- PR
55.6 ms ± 676 µs per loop (mean ± std. dev. of 7 runs, 10 loops each)  # <-- master

In [6]: cat2 = pd.Categorical(arr.astype(object))                                                                                                                                 
In [7]: %timeit res = list(cat2)                                                                                                                                                  
4.34 s ± 178 ms per loop (mean ± std. dev. of 7 runs, 1 loop each)  # <-- PR
61.7 ms ± 4.25 ms per loop (mean ± std. dev. of 7 runs, 10 loops each)  # <-- master

In [8]: dti = pd.date_range('2016-01-01', periods=10**6, freq='S')                                                                                                                
In [9]: cat3 = pd.Categorical(dti)                                                                                                                                                
In [11]: %timeit res = list(cat3)                                                 
14.6 s ± 484 ms per loop (mean ± std. dev. of 7 runs, 1 loop each)  # <-- PR
2.73 s ± 35.9 ms per loop (mean ± std. dev. of 7 runs, 1 loop each)  # <-- master
```

Thats pretty rough.  I'm open to suggestions, as long as they don't involve _internal_get_values. How about chunking , i.e. Converting e.g 100 or 1000 at a time, then yield 1 item at a time? > Thats pretty rough. I'm open to suggestions, as long as they don't involve _internal_get_values.

I think we need a method to get the "dense" version of a Categorical, anyway, so if not `_internal_get_values`, we ideally should have a public method that basically does this IMO. 
Currently, you can only do `np.array(cat)` (or `cat.to_dense()`), but that of course looses information for extension arrays.  Which is basically https://github.com/pandas-dev/pandas/issues/26410 Closing.

We're going to have to keep something resembling Categorical._internal_get_values (I'm leaning towards "_ensure_dense", open to suggestions), will update `__iter__` to use that once that becomes a reality.