Doc: Make examples runnable with separate main modules

Currently, it is not convenient to browse and run the examples from an IDE, such as GoLand, as the "Run" button is missing from the UI. Additionally, as the module is not set, it's not possible to run go build from the context menu.

IMO, this hinders the developer experience when checking out the project for the first time.

Consider making each example a separate main function and adding a README with an overview of the available examples, with a short description of its contents and run instructions, if required. See how it is organized in other language clients: https://github.com/ClickHouse/clickhouse-rs/tree/main/examples#readme, https://github.com/ClickHouse/clickhouse-js/tree/main/examples#readme