Jacobian in Zygote with Params

[theogf]

I simply love the Flux+Zygote flexibility for extracting parameters from object and get the appropriate gradients directly in the same structure (Grads).
However it would be nice to have the same feature for jacobians with Params. I saw the already open issues #98 and #51. But the proposed workaround is only valid for arrays.

[MikeInnes]

It'd make some sense to do jacobians this way. You could build it on top of gradients pretty easily, I think.

[mcabbott]

I doodled something together a little while ago, link, maybe I should make a PR...