all the neighbors algorithms to parameter validation in __init__

[amueller]

there's the _init_params method in NeighborsBase and it looks like this is called in __init__.
It looks like this is not called in fit again, so these checks are not done after set_params.
There's also private attributes set in __init__ which makes me think that this could lead to subtle bugs with clone.

(it doesn't set any public attributes, though, and the private attributes are all None)

I think we should not set any attributes in init apart from the init parameters, and we should make check_no_fit_attributes_set_in_init much stricter, to check that.