Add a `CHANGELOG.md`?

[StanFromIreland]

Changelogs are always useful to track changes, rather than having to go through release notes, WDYT?

[bodograumann]

True, I'm always glad to be able to read a good change log. Do you know of good tooling support?
I'll keep this issue and pr open until the other changes are done, so we can update the changelog as well.