The talented fat16lib from the Adafruit forums is building a very cool data logger.
The Arduino’s ADC is not suitable for many sensors like thermocouples or bridge sensing for pressure, strain, and force. Also it has fairly low dynamic impedance since it has no buffer amplifier. I have been looking for a simple solution to this problem for about a year. I have found a part that is accurate and very simple to use. The part is a Delta-Sigma ADC system from Microchip. I have used it on an Adafruit Proto Shield and have connected it directly to a GPS Shield to log sensor data. See below for directions for using it. I have compared the accuracy of several of these parts with a Fluke (0.09% DC V) meter. The results agree to about 1 part in a 1000 with no calibration of the ADC for measurements in the one to two volt range.