Support cloud storage in load_dataset
Would be nice to be able to do
```python
load_dataset("s3://...")
```
or even
```python
data_files=["gs://..."]
storage_options = {...}
load_dataset(..., data_files=data_files, storage_options=storage_options)
```

The idea would be to use `fsspec` as in `download_and_prepare` and `save_to_disk`.

This has been requested several times already. Some users want to use their data from private cloud storage to train models

related:

https://github.com/huggingface/datasets/issues/3490
https://github.com/huggingface/datasets/issues/5244
[forum](https://discuss.huggingface.co/t/how-to-use-s3-path-with-load-dataset-with-streaming-true/25739/2)
Or for example an archive on GitHub releases!  Before I added support for JXL (locally only, PR still pending) I was considering hosting my files on GitHub instead... +1 to this. I would like to use 'audiofolder' with a data_dir that's on S3, for example. I don't want to upload my dataset to the Hub, but I would find all the fingerprinting/caching features useful. Adding to the conversation, Dask also uses `fsspec` for this feature.

[Dask: How to connect to remote data](https://docs.dask.org/en/stable/how-to/connect-to-remote-data.html)

Happy to help on this feature :D  +1 to this feature request since I think it also tackles my use-case. I am collaborating with a team, working with a loading script which takes some time to generate the dataset artifacts. It would be very handy to use this as a cloud cache to avoid duplicating the effort. 

Currently we could use `builder.download_and_prepare(path_to_cloud_storage, storage_options, ...)`  to cache the artifacts to cloud storage, but then `builder.as_dataset()` yields `NotImplementedError: Loading a dataset cached in SomeCloudFileSystem is not supported` Makes sense ! If you want to load locally a dataset that you download_and_prepared on a cloud storage, you would use `load_dataset(path_to_cloud_storage)` indeed. It would download the data from the cloud storage, cache them locally, and return a `Dataset`. It seems currently the `cached_path` function handles all URLs by `get_from_cache` that only supports `ftp` and `http(s)` here:
https://github.com/huggingface/datasets/blob/b5672a956d5de864e6f5550e493527d962d6ae55/src/datasets/utils/file_utils.py#L181

I guess one can add another condition that handles `s3://` or `gs://` URLs via `fsspec` here. I could use this functionality, so I put together a PR using @kyamagu's suggestion to use `fsspec` in `datasets.utils.file_utils`

https://github.com/huggingface/datasets/pull/5580 Thanks @dwyatte for adding support for fsspec urls

Let me just reopen this since the original issue is not resolved I'm not yet understanding how to use https://github.com/huggingface/datasets/pull/5580 in order to use `load_dataset(data_files="s3://...")`. Any help/example would be much appreciated :) thanks!  It's still not officially supported x) But you can try to update `request_etag` in `file_utils.py` to use `fsspec_head` instead of `http_head`. It is responsible of getting the ETags of the remote files for caching. This change may do the trick for S3 urls Thank you for your guys help on this and merging in #5580. I manually pulled the changes to my local datasets package (datasets.utils.file_utils.py) since it only seemed to be this file that was changed in the PR and I'm getting the error: 
InvalidSchema: No connection adapters were found for 's3://bucket/folder/'. I'm calling load_dataset using the S3 URI. When I use the S3 URL I get HTTPError: 403 Client Error. 
Am I not supposed to use the S3 URI? How do I pull in the changes from this merge? I'm running datasets 2.10.1.  The current implementation depends on gcsfs/s3fs being able to authenticate through some other means e.g., environmental variables. For AWS, it looks like you can set `AWS_ACCESS_KEY_ID`, `AWS_SECRET_ACCESS_KEY`, and `AWS_SESSION_TOKEN`

Note that while testing this just now, I did note a discrepancy between gcsfs and  s3fs that we might want to address where gcsfs passes the timeout from `storage_options` [here](https://github.com/huggingface/datasets/blob/3e6269979fc80ae8939294d26298897f0db5b84d/src/datasets/utils/file_utils.py#L333) down into the `aiohttp.ClientSession.request`, but s3fs does not handle this (tries to pass to the `aiobotocore.session.AioSession` constructor raising `TypeError: __init__() got an unexpected keyword argument 'requests_timeout'`).

It seems like some work trying to unify kwargs across different fsspec implementations, so if the plan is to pass down `storage_options`, I wonder if we should just let users control the timeout (and other kwargs) using that and if not specified, use the default? > Note that while testing this just now, I did note a discrepancy between gcsfs and s3fs that we might want to address where gcsfs passes the timeout from storage_options [here](https://github.com/huggingface/datasets/blob/3e6269979fc80ae8939294d26298897f0db5b84d/src/datasets/utils/file_utils.py#L333) down into the aiohttp.ClientSession.request, but s3fs does not handle this (tries to pass to the aiobotocore.session.AioSession constructor raising TypeError: __init__() got an unexpected keyword argument 'requests_timeout').

> It seems like some work trying to unify kwargs across different fsspec implementations, so if the plan is to pass down storage_options, I wonder if we should just let users control the timeout (and other kwargs) and if not specified, use the default?

@lhoestq here's a small PR for this: https://github.com/huggingface/datasets/pull/5673

