`to_pandas` doesn't take into account format.
Thanks for opening a discussion :)

Note that you can use `.remove_columns(...)` to keep only the ones you're interested in before calling `.to_pandas()` Yes I can do that thank you!

Do you think that conceptually my example should work? If not, I'm happy to close this issue. 

If yes, I can start working on it. Hi! Instead of `with_format(columns=['a', 'b']).to_pandas()`, use `with_format("pandas", columns=["a", "b"])` for easy conversion of the parts of the dataset to pandas via indexing/slicing.

The full code:
```python
from datasets import Dataset

ds = Dataset.from_dict({'a': [1,2,3], 'b': [5,6,7], 'c': [8,9,10]})
pandas_df = ds.with_format("pandas", columns=['a', 'b'])[:]
``` Ahhhh Thank you!

closing then :)
**Is your feature request related to a problem? Please describe.**

I have a large dataset that I need to convert part of to pandas to do some further analysis. Calling `to_pandas` directly on it is expensive. So I thought I could simply select the columns that I want and then call `to_pandas`.

**Describe the solution you'd like**

```python
from datasets import Dataset

ds = Dataset.from_dict({'a': [1,2,3], 'b': [5,6,7], 'c': [8,9,10]})
pandas_df = ds.with_format(columns=['a', 'b']).to_pandas()

# I would expect `pandas_df` to only include a,b as column.
```


**Describe alternatives you've considered**
I could remove all columns that I don't want? But I don't know all of them in advance. 

**Additional context**
I can probably make a PR with some pointers.
