Vin: 2-36, Vout: 4.2. Should I use step-up, followed by step-down, or SEPIC?
I implemented the proposals here and I think I can now confidently answer my own question :)


Making a crude boost regulator yourself is not black magic, it's actually way easier than I first thought. I use a NMOS with somewhat low gate capacitance (AP2310GN) and drive it directly from a PIC PWM pin. The inductor is 33µH / 0.15Ω. My switching frequency is 100 kHz, and the duty cycle can be adjusted in increments of 5%; I selected 55% as my max duty cycle limit after some testing, as it proved to be sufficient in normal circumstances. My step-up is very crude, as it targets to output 11V ±1V (that's a lot of ripple!). What I didn't know initially is that even for this crude output you need a tight feedback loop. I continuously sample the input and output voltage and adjust the duty cycle. This is actually the most problematic part, since my PIC is doing other things, too (mostly servicing queries from a master MCU). The feedback loop runs at around 3kHz, but because of the "other things", it can sometimes fail to adjust the duty cycle quickly enough to stay within the desired band. It is especially problematic if your duty cycle is high and there is a positive voltage transient in the input (which can happen for various reasons). In that scenario, the output voltage can jump way above the 12V upper limit, and in fact exceed the 40V "absolute maximum" input on the DC-DC converter. In my case, I fried the downstream L6902 twice, and after those incidents I added some protection (much larger storage capacitor at the boost output to limit the slew rate, and a TVS diode).
Since the L6902 is a very useful, but somewhat mysterious chip, I'll write my findings here, to help any other engineers that may ponder at its sparse datasheet. I was particularly worried what happens if Vin is lower than 8V - is it bad for the chip, does it try to output anything? I found out that


The chip is fine and doesn't do anything below ~4.1 V in; above this voltage the integrated LDO starts to work;
If the desired output voltage is about 2V below the input, the switcher does not try to run, i.e. I have around 2V of "dropout". This means that for an output voltage of 4V you might be able to operate the chip at Vin=6V, albeit I guess at reduced performance;
The chip becomes quite inefficient above 30V, or at least that's the case in my setup. At 3.7Vout, I=1A it gets mighty hot, more than 100˚C. If you need such high Vin, either run it with reduced current, or place it on a large enough copper pad;
As mentioned above, when ST wrote "absolute maximum input: 40V", they weren't joking. I fried one chip by overspeeding the generator - in this incident I was feeding it around 45 volts for a few seconds, and this was enough to kill it;
Even though the current limit setting requires a resistor, you can easily modify it to be voltage-controlled (ST has an app note explaining how);
The sweet spot, efficiency-wise, seems to be around 10-15V input for 4.1V output, I measured around 85% efficiency there.

Does the whole setup (step-up, followed by a step-down) work? Yes. Is it worth it? Somewhat - I'm able to source small amounts of power even at Vin=2V. The suggested in the comments approach of just one step-down with 100% duty-cycle capability is also fine, but it would require different gearing of the generator, which in my scenario is impossible... BUT, if someone is working on the same problem, them might want to explore this approach. I found the LTC3637 buck regulator, which looks like a good chip for the purpose.