Add more compression types for `to_json`
@lhoestq, I looked into how to compress with `zipfile` for which few methods exist, let me know which one looks good:
1. create the file in normal `wb` mode and then zip it separately
2. use `ZipFile.write_str` to write file into the archive. For this we'll need to change how we're writing files from `_write` method  

How `pandas` handles it is that they have created a wrapper for standard library class `ZipFile` and allow the returned file-like handle to accept byte strings via `write` method instead of `write_str` (purpose was to change the name of function by creating that wrapper) 1. sounds not ideal since it creates an intermediary file.
I like pandas' approach. Is it possible to implement 2. using the pandas class ? Or maybe we can have something similar ? Definitely, @lhoestq! I've adapted that from original code and turns out it is faster than `gz` compression. Apart from that I've also added `infer` option to automatically infer compression type from `path_or_buf` given One small thing, currently I'm assuming that user will provide compression extension in `path_or_buf`. Is it this also possible?
`dataset.to_json("from_dataset.json", compression="zip")`? 
Should I put an `assert` to ensure the file name provided always has a compression extension? Thanks !

> One small thing, currently I'm assuming that user will provide compression extension in path_or_buf. Is it this also possible?
>dataset.to_json("from_dataset.json", compression="zip")?
>Should I put an assert to ensure the file name provided always has a compression extension?

I think it's fine as it is right now :) No need to check the extension of the filename passed to `path_or_buf`.
 > turns out it is faster than gz compression

I think the default compression level of `gzip` is 9 in python, which is very slow. Maybe we can switch to compression level 6 instead which is faster, like the `gzip` command on unix I found that `fsspec` has something that may interest you: [fsspec.open(..., compression=...)](https://filesystem-spec.readthedocs.io/en/latest/api.html#fsspec.open). I don't remember if we've already mentioned it or not

It also has `zip` if I understand correctly ! see https://github.com/fsspec/filesystem_spec/blob/master/fsspec/compression.py#L70

Since `fsspec` is a dependency of `datasets` we can use all this :)

Let me know if you prefer using `fsspec` instead (I haven't tested this yet to write compressed files). IMO it sounds pretty easy to use and it would make the code base simpler Just tried `fsspec` but I'm not able to write compressed `zip` files :/
`gzip`, `xz`, `bz2` are all working fine and it's really simple (no need for `FileWriteHandler` now!)
This PR adds `bz2`, `xz`, and `zip` (WIP) for `to_json`. I also plan to add `infer` like how `pandas` does it