ENH: Better error message for FeatureUnions

[andersbogsnes]

Is your feature request related to a problem? Please describe.
If a mistake is made when creating a Pipeline for a given feature, the error message is not very descriptive in terms of what feature is going wrong

Describe the solution you'd like
A clearer error message describing the name of the pipeline that goes wrong and any other pertinent details

[andersbogsnes]

If we want to append info about what transformer failed, need to implement it at the Transformer level. At the FeatureUnion level, we only know about the Pipeline, not the individual transformer. Maybe a mixin?