Raise more specific exception on concat([None])
More specific exception allows for a safer, more explicit catch by a caller.
ConcatenationError follows the pattern of MergeError which is used in the same file when something is wrong with a caller's inputs to  merge().

@jorisvandenbossche you think this is an API change? seems completely back-compat 
 Yeah, as far as I understand it correctly, this should be back compat (as if a user is checking for an Exception now, this will still work for ConcatenationError).

However, I do follow @shoyer here in the question if it is not more useful to provide eg ValueError. 
I know it would be more consistent with the rest of the file to use a custom error, but is that pattern used a lot elsewhere in pandas? (@jreback?) If we think something like ValueError is better, I think we should do that regardless of consistency with `merge`. 
And I personally find ValueError possibly more informative than ConcatenationError, as there are more things that could go wrong in the concatenation function than wrong input values.
 I think `MergeError` could be changed to `ValueError`. Which is what this really is, either the arguments are incorrect (e.g. can't specify multiple conflicting options), or your data is not-unique.

So IMHO, I think let's make `MergeError` inherit from `ValueError` (I think this is back-compat), but put in a note that we are getting rid of it in 0.16? (or just drop it)?
and make this bare Exception into a `ValueError`
 Updated to remove ConcatenationError and make ValueError more central, as suggested. I'll leave the deprecation of MergeError to you folks if that's OK. Not sure how you'd like to document/go forward with that kind of thing.
 Can you sqaush your commits?
 @jorisvandenbossche done!
 @thatneat can you add a release note to v0.15.0 API changes (reference this issue, saying a `MergeError` will now specialize as a `ValueError` or something like that).

squash and I think good to go
 merged via https://github.com/pydata/pandas/commit/ce79c80578708c32a161b9e109c8804ebbf5cea5

thanks!
