ARROW-7674: [Dev] Add helpful message for captcha challenge in merge_arrow_pr.py

Closes #6277 from TheNeuralBit/merge-captcha and squashes the following commits:

1134791de <François Saint-Jacques> Fix python linter
1c844e45a <Brian Hulette> Add helpful message for captcha challenge

Lead-authored-by: Brian Hulette <hulettbh@gmail.com>
Co-authored-by: François Saint-Jacques <fsaintjacques@gmail.com>
Signed-off-by: François Saint-Jacques <fsaintjacques@gmail.com>
diff --git a/dev/merge_arrow_pr.py b/dev/merge_arrow_pr.py
index 7373f3a..ecbda09 100755
--- a/dev/merge_arrow_pr.py
+++ b/dev/merge_arrow_pr.py
@@ -47,6 +47,7 @@
 
 try:
     import jira.client
+    import jira.exceptions
 except ImportError:
     print("Could not find jira library. "
           "Run 'sudo pip install jira' to install.")
@@ -516,8 +517,20 @@
 
 
 def connect_jira(cmd):
-    return jira.client.JIRA({'server': JIRA_API_BASE},
-                            basic_auth=get_credentials(cmd))
+    try:
+        return jira.client.JIRA({'server': JIRA_API_BASE},
+                                basic_auth=get_credentials(cmd))
+    except jira.exceptions.JIRAError as e:
+        if "CAPTCHA_CHALLENGE" in e.text:
+            print("")
+            print("It looks like you need to answer a captcha challenge for "
+                  "this account (probably due to a login attempt with an "
+                  "incorrect password). Please log in at "
+                  "https://issues.apache.org/jira and complete the captcha "
+                  "before running this tool again.")
+            print("Exiting.")
+            sys.exit(1)
+        raise e
 
 
 def get_pr_num():