I once saw something similar to Grumpy_Mike's design, but for transferring signals to/from an ROV; the tether was on a winch device, and thus the slip-rings were needed. The guy wrote (this was on a web site that I can't find anymore) that it worked well, with no noise in the video circuit.
I think if I were going to be processing signals, though, from a sensor, I would do it with wireless, and only feed power through the slip-rings; you would probably need to have a capacitor in there somewhere to store a charge for transients and noise reduction on the power-rail, and use some kind of carbon or graphite brush (like is used in certain electric motors).
I am just thinking this because of potential noise issues creeping into the signal from the sensors that may or may not be easy to filter out.