SQL would give you the most flexibility for reporting. If you have a beefy DB setup and fast network, it might not put much additional perfroamcne burden on you over text files.
OTOH, if you're not planning on doing much log analysis, just looking at logs on rare occassions to figure out what lead to a problem, then text files are simpler to set up and manage.
Event log is ok, but if you're going to use it, consider using it only for significant errors, don't clutter it up with a bunch of unimportant messages. Use it in conjunction with SQL or text files with those significant errors logged to both locations.
Whatever you decide, test it for performance before going into production.