Is your feature request related to a problem?

Currently Dataset.set_xindex(coord_names, index_cls=None, **options) allows passing index build options (if any) via the **options arguments. Those options are not easily discoverable, though (no auto-completion, etc.).

Describe the solution you'd like

What about something like this?

```python ds.set_xindex("x", MyCustomIndex.with_options(foo=1, bar=True))

or

ds.set_xindex("x", *MyCustomIndex.with_options(foo=1, bar=True)) ```

This would require adding a .with_options() class method that can be overridden in Index subclasses (optional):

```python

xarray.core.indexes

class Index: @classmethod def with_options(cls) -> tuple[type[Self], dict[str, Any]]: return cls, {} ```

```python

third-party code

from xarray.indexes import Index

class MyCustomIndex(Index):

@classmethod
def with_options(cls, foo: int = 0, bar: bool = False) -> tuple[type[Self], dict[str, Any]]:
    """Set a new MyCustomIndex with options.

    Parameters
    ------------
    foo : int, optional
        The foo option (default: 1).
    bar : bool, optional
        The bar option (default: False).
    """
    return cls, {"foo": foo, "bar": bar}

```

Thoughts?

Describe alternatives you've considered

Build options are also likely defined in the Index constructor, e.g.,

```python

third-party code

from xarray.indexes import Index

class MyCustomIndex(Index):

def __init__(self, data, foo=0, bar=False):
    ...

```

However, the Index constructor is not public API (only used internally and indirectly in Xarray when setting a new index from existing coordinates).

Any other idea?

Additional context

No response