ENH: add Index.dropna
- [x] closes #6194
- [x] tests added / passed
- [x] passes `git diff upstream/master | flake8 --diff`
- [x] whatsnew entry

after this PR:

```
idx = pd.Index([1, 2, np.nan, 4])
idx.dropna()
# Float64Index([1.0, 2.0, 4.0], dtype='float64')
```

MI has option `how` to drop if any/all levels are NA (the same as `DataFrame`)

```
midx = pd.MultiIndex.from_arrays([[1, 2, np.nan, 4], [1, 2, np.nan, np.nan]])
midx.dropna()
# MultiIndex(levels=[[1, 2, 4], [1, 2]],
#            labels=[[0, 1], [0, 1]])

midx.dropna(how='all')
# MultiIndex(levels=[[1, 2, 4], [1, 2]],
#            labels=[[0, 1, 2], [0, 1, -1]])
```

## [Current coverage](https://codecov.io/gh/pydata/pandas/pull/13791?src=pr) is 85.24% (diff: 100%)

> Merging [#13791](https://codecov.io/gh/pydata/pandas/pull/13791?src=pr) into [master](https://codecov.io/gh/pydata/pandas/branch/master?src=pr) will increase coverage by **0.01%**

``` diff
@@             master     #13791   diff @@
==========================================
  Files           140        140          
  Lines         50420      50438    +18   
  Methods           0          0          
  Messages          0          0          
  Branches          0          0          
==========================================
+ Hits          42975      42998    +23   
+ Misses         7445       7440     -5   
  Partials          0          0          
```

> Powered by [Codecov](https://codecov.io?src=pr). Last update [cc216ad...1672f26](https://codecov.io/gh/pydata/pandas/compare/cc216ada82a2b06a52524da7b1559a7f5e31b1c1...1672f26919cd08bcc08b267723d965b4b47c321f?src=pr)
 Two minor comments, looks good to me for the rest!
 Thanks,  made changes for that were pointed out. Added `New Index method` section under `what's new -> enhancement` to organize relevant fixes.
 thanks @sinhrks 
