Hi Marco
Since you won't let me tell you to buy all different sensors, you've set quite the challenge 
The products you've bought so far presumably are all interfaced like the DHT11 you mentioned, with a single data line, power and GND, but no address capability. Many devices which use that setup are not even digital, but will return an output voltage from 0V to VCC with a linear relationship to the value returned (eg LM35 / TMP36 types for temperature, or Allegro current sensors for two).
You could potentially add that functionality by dropping an ATtiny (say) at each sensor. The sensor would talk to its local microcontroller directly, on its dedicated input pin, and that microcontroller could be addressed on a bus via I2C (say) from the Arduino.
I don't completely understand for all that added complexity (cost, headaches etc) what you'd be gaining though. The direct attach is really nice and simple, if not as elegant as you'd prefer.
ravensburger:
Was thinking of employing I2C eeproms (24LC256) or similar... does anyone have better ideas or guidance?
These EEPROMs are a great way of expanding the non-volatile storage on your Arduino, but on their own would not be useful for adding a bus capability to these sensors. Reason being, they're just storage with no processing capability so they can read and write their own storage when instructed by the Arduino, but can't help you interfacing additional sensors on their bus.
Cheers ! Geoff