This doesn't respond to your question really, but I am reminded of http://www.crypt.gen.nz/papers/logsurfer.html which can do some analysis that might be difficult with SQL queries. For example, detecting particular sequences of events with time constraints. If nothing else, looking at its capabilities might give you ideas for analysis you could try and those ideas might better inform your decisions about how to store the data.
As for a strategy, I would begin by capturing the data in its native format. Then I would think about what analysis I wanted to perform and look for tools that did that sort of analysis. Then I would put the data into whatever format those tools required.
