It depends on whether you have many small files or a small number of large files. In the former case, one file approach (HDF5) makes sense. In the latter case, you don't have a problem with i-node consumption and you gain the ability to easily access only the data you need without bringing the entire data-set into memory.

I kind of the like the approach suggested above - if you have many small files store them in a zip archive and use some library to access the data directly.