WIP/ENH: Pass tzinfos to dateutil parser
Putting this up early because the `set_option` behavior deserves discussion.  The alternative is to make/let users pass `tzinfos` in Timestamp, to_datetime, DatetimeIndex, and probably others.

- [x] closes #22234, #18702
- [x] tests added / passed
- [x] passes `git diff upstream/master -u -- "*.py" | flake8 --diff`
- [ ] whatsnew entry

Still need to:
- [ ] document usage, whether via set_option or passing tzinfos
- [ ] tests for array_to_datetime, to_datetime, Timestamp, DatetimeIndex
- [ ] test for the fix of #22234

Hello @jbrockmendel! Thanks for submitting the PR.

 - There are no PEP8 issues in the file [`pandas/core/config_init.py`](https://github.com/jbrockmendel/pandas/blob/c9416786ce7226fa1f4baa230509958a6b809e38/pandas/core/config_init.py) !

 - There are no PEP8 issues in the file [`pandas/tests/tslibs/test_parsing.py`](https://github.com/jbrockmendel/pandas/blob/c9416786ce7226fa1f4baa230509958a6b809e38/pandas/tests/tslibs/test_parsing.py) !

 huh? what is this supposed to accomplish from a user POV ? > huh? what is this supposed to accomplish from a user POV ?

At the moment we aren't correctly parsing _any_ timezones aside from UTC offsets.

```
>>> ts = pd.Timestamp("2018-11-04 3:45 PM CST")
/usr/lib/python2.7/site-packages/dateutil/parser/_parser.py:1204: UnknownTimezoneWarning: tzname CST identified but not understood.  Pass `tzinfos` argument in order to correctly return a timezone-aware datetime.  In a future version, this will raise an exception.
  category=UnknownTimezoneWarning)
>>> 
>>> ts
Timestamp('2018-11-04 15:45:00')
```

(yes, yes, I know "CST" isn't a timezone. But PST, CST, EST, ... are not uncommon in the wild) that’s not my point

how is this actually useful? > how is this actually useful?

Because it allows users to parse date-like strings correctly.  Because at the moment we are silently returning incorrect results (well, dateutil is issuing a warning).  Because before long dateutil will start raising in these cases and we should provide _some_ way of letting users pass a `tzinfos` dict.
 this is a really tiny edge case and adds lots of complexity  I agree that this adds complexity, but not that it is a tiny corner case.  Let's put this on the back-burner until after 0.24.0. ok, prob best to close this. and simply create a project for those issues. Closing until after 0.24.0