BUG: provide chunks with progressively numbered (default) indices
closes #12185 

Notice the test I fix was indeed wrong - I had written that line as a workaround waiting for this fix.

needs to use the parser data directly. If not available, then needs to be exposed. This makes it less complicated from a future reader perspective.
 can you rebase/update
 can you rebase / update
 can you rebase and i'll have a look
 Rebased. Certainly two problems left (the one you pointed out - we should already use the available info inside the parser - and the one concerning the empty chunk I commented above): I can take care of them but I don't know when, so if you want the fix in 0.19.0 I suggest to postpone them to future PRs.
 ## [Current coverage](https://codecov.io/gh/pydata/pandas/pull/12289?src=pr) is 85.23% (diff: 100%)

> Merging [#12289](https://codecov.io/gh/pydata/pandas/pull/12289?src=pr) into [master](https://codecov.io/gh/pydata/pandas/branch/master?src=pr) will increase coverage by **<.01%**

``` diff
@@             master     #12289   diff @@
==========================================
  Files           140        140          
  Lines         50415      50423     +8   
  Methods           0          0          
  Messages          0          0          
  Branches          0          0          
==========================================
+ Hits          42970      42977     +7   
- Misses         7445       7446     +1   
  Partials          0          0          
```

> Powered by [Codecov](https://codecov.io?src=pr). Last update [98c5b88...381e3b3](https://codecov.io/gh/pydata/pandas/compare/98c5b88d6f9f7bb0afa4fbae49a045d93a1cb33f...381e3b39268fb0a7da9df43622306b998dd98045?src=pr)
 OK, test on `index_col` added, ready as far as I can tell.
 Hope the sub-section is fine... I was unable to generate the docs (probably my `IPython`'s fault).
 @toobaz The whatsnew explanation looks good I think! But can you move it a bit below to the API changes section? (it can be a subsection of that)
 @toobaz Can you also take a look in the io.rst docs on the explanation about chunksize to see if there is something that should/could be changed? (edit: took a quick look in the io-chunking section http://pandas.pydata.org/pandas-docs/stable/io.html#io-chunking, and I think this is good)
 @jorisvandenbossche : thanks for the comments, should have fixed everything. I also checked `io.rst` everywhere `chunksize` appears, and the index is never mentioned.
 Ahem... please kill https://travis-ci.org/pydata/pandas/builds/147442885 ...
 @jreback this looks good to me
 thanks @toobaz 
