(Willing to PR) Datasets with custom python objects

### Feature request

Hi thanks for the library! I would like to have a huggingface Dataset, and one of its column is custom (non-serializable) Python objects. For example, a minimal code:

```
class MyClass:
pass

dataset = datasets.Dataset.from_list([
dict(a=MyClass(), b='hello'),
])
```

It gives error:

```
ArrowInvalid: Could not convert <__main__.MyClass object at 0x7a852830d050> with type MyClass: did not recognize Python value type when inferring an Arrow data type
```

I guess it is because Dataset forces to convert everything into arrow format. However, is there any ways to make the scenario work? Thanks!

### Motivation

(see above)

### Your contribution

Yes, I am happy to PR!

Cross-posted: https://discuss.huggingface.co/t/datasets-with-custom-python-objects/79050?u=fzyzcjy

EDIT: possibly related https://github.com/huggingface/datasets/issues/5766