Improve the self types situation

[JelleZijlstra]

From micro codery on typing-sig:

It was only after seeing the solution that I could find docs describing it on mypy.readthedocs. There is a note claiming that a generic self is still experimental but maybe a convention should be added to the typeshed contributing guide about using it, just like Sequence is recommended over list.

From @srittau on #5675:

I suggest that in the future we shouldn't accept __enter__() methods returning self anymore that don't use a type var.

I think we should do both of these things. We can find some existing offenders with git grep 'def __enter__(self) -> [A-Z]'.

[srittau]

We can also add a Self type var to _typeshed:

Self = TypeVar("Self")

This can help us finding places where we should use typing.Self if this proposal is accepted.

[gruebel]

I think all of the work is done in the stdlib, except for Python 2 types. Do you also want to tackle it or just leave it as it is?

[srittau]

Personally, I would not put the work into Python 2 stubs, but I would accept PRs improving them.

[gruebel]

I'm also not up to put some work into Python 2 stubs 😄 so next would be the stubs under the stubs folder, right?