ENH: Implement DataFrame.select

[datapythonista]

• closes ENH: Implement DataFrame.select to select columns #61522
• Tests added and passed if fixing a bug or adding a new feature
• All code checks passed.
• Added type annotations to new arguments/methods/functions.
• Added an entry in the latest doc/source/whatsnew/vX.X.X.rst file if fixing a bug or adding a new feature.

Based on the feedback in #61522 and on the last devs call, I implemented DataFrame.select in the most simple way. It does work with MultiIndex, but it does not support equivalents to filter(regex=) or filter(like=) directly. I added examples in the docs, so users can do that easily in Python (I can add one for regex if people think it's worth it).

The examples in the docs and the tests should make quite clear what's the behavior, feedback welcome.

For context, this is added so we can make DataFrame.filter focus on filtering rows, for example:

df = df.select("name", "age")
df = df.filter(df.age >= 18)

or

(df.select("name", "age")
   .filter(lambda df: df.age >= 18))

CC: @pandas-dev/pandas-core