As pointed out by felixg.david on Right-Click Select, there is no mean to attach python callbacks to baking events, while it is possible for render jobs using [[ https://docs.blender.org/api/2.79/bpy.app.handlers.html | bpy.app.handlers ]].
This patch introduces and exposes a bake_init, a bake_complete and a bake_cancel handler lists.
I did not add the other handlers available for render because I am not really sure of which are still relevant for baking. I'd like to be sure at first that I fired the events from the right place (namely RT_Database_Baking, in render/intern/source/convertblender.c).
PS: This is my first submission, so any methodological advice is more than welcome. :)