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ARROW-3862: [C++] Improve third-party dependencies download script

The following changes were made:

- Refactored definitions such that adding a new dependency should not
  involve modifying the script but only the `version.txt.` file (excluding cmake).
- Safer bash mode with `-u`
- Added version in the tarball at the cost of disk size, but safer
  operation if content-length match for some unlucky reason.

Author: François Saint-Jacques <fsaintjacques@gmail.com>

Closes #3021 from fsaintjacques/ARROW-3862-download-script and squashes the following commits:

381bb7547 <François Saint-Jacques> ARROW-3862:  Improve third-party dependencies download script