Currently, if you interrupt check_fetch_lfw() (which downloads about 200mb of 
data), the incomplete lfw-funneled.tgz stays on disk, and running it again 
raises EOFError: Compressed file ended before the end-of-stream marker was 
reached.

Would it be useful to implement a retry in that case (delete archive and 
download again) ?

To reproduce, run benchmarks/bench_plot_incremental_pca.py and interrupt with 
ctrl-c, then run it again

Thanks
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