For the third approach - implementation is eally not super-difficult;
you just need to some custom code (in a web service or inside your
form) to store the entire XML of the form in an InfoPath table.

Basically, you need to:
1) Define a schema for your data and create a sample filled out form.
2) Create a SQL table with the following structure:
ID autonumber,
XML myform [note that SQL Server 2005 natively supports XML columns]
3) Save the sample filled out form to the table you just created.
4) Setup some logic to retrieve and submit XML blobs. In the demo that
I built, I'm using a web service with two methods - getForm(formid) and
setForm(xml, formid).
5) Hook up an InfoPath form to the logic you built in step 4. In my
demo, since I'm using a web service, I just started a new form based on
that web service.
6) Configure your form to submit and query for data properly
7) Setup logic to create new records - for me it was just a third web
service method.

This method is very new, and I don't know of anyone presently using
this in a production environment; I have this setup end-to-end in a
demo - we've shown it at a couple of developer conferences this year.
Feel free to follow up with questions!

Also, et me talk a bit more about what you can achieve if you implement
this.
1) No need to shred the XML data into relational structures - this
means that when your schema changes, you don't need to re-create tables
and worry about migrating data to a new relational schema.
2) Go into your forms' data with XQuery. You could search the filled
out forms using a context-aware search - "show me all status reports
that have Joe as the author" (much better than a full-text search for
Joe for obvious reasons)
3) Taking this a step further - imagine doing joins between data you
get from forms using XQuery and your other relational tables. Very,
very powerful.
4) If you're worried about performance of #3 (and you should be :-)) -
you could "promote" certain frequently used XPaths from your XMLs into
relational columns, set up indexes on those columns, and do the joins.
This would mean that you need to write a trigger to do the promotion,
though - or have this done as a part of your submit logic.

Thanks,
Alex