Good inputs, I just checked and the board I'm doing some trials uses a MCP16251 boost, just checked the datasheet and it has built-in soft-start (typical 1.5ms) and regulates the output via PWM and PFM depending on the required current, which seems to optimize the performance for small and larger currents.
Regarding the TMP36, that's just a test sketch. On other projects I need to have some voltage over 3.0V because of an ultrasonic sensor (US-100), etc. So going much lower without regulator limits too much the possibilities. I'll indeed try the lithium cells, shame they still a bit pricey. The conclusion I got is that's difficult to find a fit-all size when talking about low-power, you basically need to adapt the board for each situation.