Hi.
First off, I got a little surprised reading WindowsXP and Embedded in the same sentence :-)
I'll start by replying to your post from the bottom: if I had to use x86 and would be allowed to pick my own OS, I'd go for Linux. At least I would be able to run the thing headless. I must admit though that for a simple application like logging sensor information (by the way, how many sensors? What data rate are we talking about?) I'd go for something much smaller, like an SOC based system or even micro controller based.
Selecting the medium on which to log your data depends on your data rate, so not too easily answered and some more details would be welcome. If this is one box standing in the corner (and assuming a big OS like Linux on an overly powerful processor), you could go for a RAID setup of a bunch of hard drives with mirroring and something like ZFS or XFS.
When you say "powered off at any time" what do you mean with that? Hot power off without proper shutdown? In that case, definitely not Windows.
Perhaps you can give us some more background information, so we can answer your post better. Personally, when I see sensor data logging I think of tons small embedded systems talking to a server somewhere over a network where the data gets logged into a powerful database server ready for analysis.
Johan.