ERR: better concat error messages #9157
closes #9157 

This is a first attempt to improve the error message when trying to concat an empty list/set of objects:

`pd.concat([])` currently raises following error:

```
/Users/ch/miniconda/envs/sci33/lib/python3.3/site-packages/pandas/tools/merge.py in __init__(self, objs, axis, join, join_axes, keys, levels, names, ignore_index, verify_integrity, copy)
    765 
    766         if len(objs) == 0:
--> 767             raise ValueError('All objects passed were None')
    768 
    769         # consolidate data & figure out what our result ndim is going to be

ValueError: All objects passed were None
```

After the tiny fix it is:

```
/Users/ch/repo/pandas/pandas/tools/merge.py in __init__(self, objs, axis, join, join_axes, keys, levels, names, ignore_index, verify_integrity, copy)
    767 
    768         if len(objs) == 0:
--> 769             raise ValueError('No objects passed')
    770 
    771         if isinstance(objs, dict):

ValueError: No objects passed
```

needs a test
 Yes, still thinking how to design a good test. I still raise a ValueError, but this time with a slightly different error message. Should I test for the wording of the error message? I am not too happy with this solution since it breaks if someone decides to come up with a better message.
 @cel4 you can do a `assertRegExp`. And it _should_ break if something (e.g. the error message is changed), that's the point.
 @jreback, sorry I am very busy at the moment. I am planning to continue the work here in a week or two.
 I added a draft version how a test could look like. Would appreciate any comments.
 `AttributeError: 'TestOrderedMerge' object has no attribute 'assertRegexpMatches'` - grr...  seems like `assertRegexpMatches` is not part of the `unittest` module in the `2.6` version...
 @cel4 In the pandas `testing` module, there is a `assertRaisesRegexp` available for this -> `tm.assertRaisesRegexp()`
 Hmh, tests are green. Yet I am not sure if I like this solution. Wouldn't it be better if we also check in`pd.concat` for empty sequences, so we can raise a even better (less general) error message about what went wrong exactly.
 this needs to address my comments above
you can force materializing a generator and thrn just take the len
 I propose "ValueError: No objects to concatenate" 
 @sergeny, I like that suggestion. Unfortunately, I do not have much time at the moment and I totally forgot about that PR. I hope I can finish it soon. 
 closing as stale, but if you would like to reopen and fixup pls do.
 Should be ready for a first round of reviews.
 looks reasonable. pls add a release note. and squash. (you can put in API changes)
 @jreback, When travis is happy, this should be ready for review once again.
 merged via https://github.com/pydata/pandas/commit/58db03eec9bd6d78976b844267c3c1a9f61a8eb3

thanks!
