Compile code in vendor dir; don't download modules again

[bboreham]

What this PR does:
Tells Go to use the code we have checked in under vendor.

Which issue(s) this PR fixes:
Fixes #1710
Fixes #1795

Checklist
N/A

[bboreham]

Doesn't seem to work at CircleCI:

#!/bin/bash -eo pipefail
CASSANDRA_TEST_ADDRESSES=localhost:9042 make BUILD_IN_CONTAINER=false test
protoc -I /go/src:./vendor:./pkg/querier/frontend --gogoslick_out=plugins=grpc,Mgoogle/protobuf/any.proto=github.com/gogo/protobuf/types,:./pkg/querier/frontend ./pkg/querier/frontend/frontend.proto
protoc -I /go/src:./vendor:./pkg/querier/queryrange --gogoslick_out=plugins=grpc,Mgoogle/protobuf/any.proto=github.com/gogo/protobuf/types,:./pkg/querier/queryrange ./pkg/querier/queryrange/queryrange.proto
protoc -I /go/src:./vendor:./pkg/ingester --gogoslick_out=plugins=grpc,Mgoogle/protobuf/any.proto=github.com/gogo/protobuf/types,:./pkg/ingester ./pkg/ingester/wal.proto
protoc -I /go/src:./vendor:./pkg/ingester/client --gogoslick_out=plugins=grpc,Mgoogle/protobuf/any.proto=github.com/gogo/protobuf/types,:./pkg/ingester/client ./pkg/ingester/client/cortex.proto
protoc -I /go/src:./vendor:./pkg/ruler/rules --gogoslick_out=plugins=grpc,Mgoogle/protobuf/any.proto=github.com/gogo/protobuf/types,:./pkg/ruler/rules ./pkg/ruler/rules/rules.proto
./tools/test -netgo
go: downloading github.com/go-kit/kit v0.9.0
go: downloading github.com/pkg/errors v0.8.1
go: downloading github.com/prometheus/client_golang v1.5.0
go: downloading github.com/weaveworks/common v0.0.0-20200310113808-2708ba4e60a4
go: downloading github.com/prometheus/common v0.9.1
go: downloading github.com/prometheus/prometheus v1.8.2-0.20200213233353-b90be6f32a33
go: downloading github.com/segmentio/fasthash v0.0.0-20180216231524-a72b379d632e
...

[pstibrany]

This is how Go 1.14 will work out of the box, once we switch to it.

https://golang.org/doc/go1.14#go-command

[bboreham]

Maybe I should just do Go 1.14 instead.

[bboreham]

Probably replaced by #2480

[pracucci]

Probably replaced by #2480

I don't think so. It's a step forward, but doesn't closes this. In order to get what we want we need go.mod to switch to 1.14, according to https://golang.org/doc/go1.14#go-command.

[stale]

This issue has been automatically marked as stale because it has not had any activity in the past 60 days. It will be closed in 15 days if no further activity occurs. Thank you for your contributions.

[pracucci]

Switching to 1.14 in #2749.

[pracucci]

@bboreham I hope you don't mind if I close this PR. We already switched to Go 1.14.