More easily support streaming local files
### Feature request

Simplify downloading and streaming datasets locally. Specifically, perhaps add an option to `load_dataset(..., streaming="download_first")` or add better support for streaming symlinked or arrow files.

### Motivation

I have downloaded FineWeb-edu locally and currently trying to stream the dataset from the local files. I have both the raw parquet files using `hugginface-cli download --repo-type dataset HuggingFaceFW/fineweb-edu` and the processed arrow files using `load_dataset("HuggingFaceFW/fineweb-edu")`. 

Streaming the files locally does not work well for both file types for two different reasons.

**Arrow files**

When running `load_dataset("arrow", data_files={"train": "~/.cache/huggingface/datasets/HuggingFaceFW___fineweb-edu/default/0.0.0/5b89d1ea9319fe101b3cbdacd89a903aca1d6052/fineweb-edu-train-*.arrow"})` resolving the data files is fast, but because `arrow` is not included in the known [extensions file list](https://github.com/huggingface/datasets/blob/ce4a0c573920607bc6c814605734091b06b860e7/src/datasets/utils/file_utils.py#L738) , all files are opened and scanned to determine the compression type. Adding `arrow` to the known extension types resolves this issue. 

**Parquet files**

When running `load_dataset("arrow", data_files={"train": "~/.cache/huggingface/hub/dataset-HuggingFaceFW___fineweb-edu/snapshots/5b89d1ea9319fe101b3cbdacd89a903aca1d6052/data/CC-MAIN-*/train-*.parquet"})` the paths do not get resolved because the parquet files are symlinked from the blobs (which contain all files in case there are different versions). This occurs because the [pattern matching](https://github.com/huggingface/datasets/blob/ce4a0c573920607bc6c814605734091b06b860e7/src/datasets/data_files.py#L389) checks if the path is a file and does not check for symlinks. Symlinks (at least on my machine) are of type "other". 


### Your contribution

I have created a PR for fixing arrow file streaming and symlinks. However, I have not checked locally if the tests work or new tests need to be added.

IMO, the easiest option would be to add a `streaming=download_first` option, but I'm afraid that exceeds my current knowledge of how the datasets library works. https://github.com/huggingface/datasets/pull/7083