What is a good way to store a large number of columns?
You could make a case either way, but if the data is going to be used for analysis and you often want to see multiple columns from that data at the same time, go with the wide table. Make sure you know your databases column quantity and row size limits. Make sure you get the datatypes right. If many of the columns are null, SQL Server allows you to optimize the table for that. You could also consider using a NOSQL (Not Only SQL) solution for analysis of this type of data.

If this data is going to be less for analysis, you might want to normalize it as stated in your question.