Out of memory error handling in frontend code

Hello,

One of our customers recently complained that his pg_dump stopped 
abruptly with the message "out of memory".

After some time, we understood that the 20 million of large objects were 
responsible for the huge memory usage (more than 10 GB) by pg_dump.

I think a more useful error message would help for such cases. Indeed, 
it's not always possible to ask the client to run pg_dump with 
"valgrind --tool=massif" on its server.

Now, I understand that we don't want to add too much to the frontend 
code, it would be a lot of pain for not much gain.

But I wonder if we could add some checks in a few strategic places, as 
in the attached patch.

The idea would be to print a more useful error message in most of the 
cases, and keep the basic "out of memory" for the remaining ones.

I haven't try to get the patch ready for review, I know that the format 
of the messages isn't right, I'd like to know what do you think of the 
idea, first.

Best regards,
Frédéric