Advice needed on simple remote comms

What is the best/usual way to implement some remote sensors - such as remote temperature for a weather station built with an Arduino?

For a start, I was thinking of RF comms of some type that are cheap and low on battery use. Is there a way to hook the sensor up to the sensor without having an arduino in the remote location, and have it read by the central arduino?

I think that 433MHz is the best choice.
You can buy the very cheap ones and use a library for it.
Those very cheap one's have a pin to switch the transmitter on and off.
Arduino Playground - HomePage (search for "Virtual Wire").
But I suggest you buy better onces, with a chip that handles the communication.

But connecting a sensor to a transmitter ?
That's impossible. You have to use an Arduino for every location.

Thanks. Good to hear the cheap ones work OK. Thanks for the link.

So, having an arduino in the remote location... are they low power enough for reasonable battery life - and/or is there a specific low power version of the arduino I should use?

The cheap ones work in my house without problem. But they only can switch the transmitter on and off, so the protocol is in software. The receiver has one output pin to indicate if someone is transmitting or no . But radio noise makes the receiver get 2000 interrupts per second ! The software has to find the right signal from that noise. So I very strongly suggest to pay 2 more dollars for the ones with a communication chip.

For low power, you can use a Arduino Mini or Nano or a 8MHz 3.3V Arduino and use a switched DC-DC regulator.
The voltage regulator on the Arduino Uno is just a normal regulator which produces heat.
The microcontroller itself uses little power. The most common used ATmega328P is already a low power chip, so choosing a board with the newer chip like the ATmega32U4 doesn't have many influence.