I have a WD My Book Live which holds my content and I use OpenElec on the Pi to mount the shares from the WD by NFS, which I've found to be faster than SMB. (both devices are linked networked by ethernet rather than wireless)
The real advantage of this is that the WD has a built-in DLNA/uPnp media server (Twonky) so I can also stream the files to other devices (iPad, laptop etc.)
Could certainly do the same thing with a self built box and drives etc. but the WD is a pretty neat solution ("other NAS are available"
The real disadvantage to it is that it is network only - no USB port, so getting content onto it can take a bit of time as it all has to go over the network.