Arduino I2C Data Logging Board
This data logger is one of the smallest, cheapest and simplest boards so far. It uses a 247C256 eeprom memory which has an I2C interface. This gives 32k bytes of external memory. The chip is widely available for £1 or so.
If you're logging something like sunlight or wind speed, 32k bytes allows you to log an 8-bit value every minute for over 22 days.
A small design change would add more memory; the chip has eight possible addresses, so a board can contain eight of these chips, storing a total of 256k bytes. Other chips offer even greater memory capacity.
You can drive the board with the Arduino's Wire library, and there is a sketch using this chip in the Arduino playground.