I'm new to the forums but have been using Portable Firefox for a few months and have recently become a fan of Portable VLC. They are fantastic pieces of software.
I don't believe this has been mentioned before but I have just become aware of a new program called Songbird (found here http://www.songbirdnest.com).
It's in its early stages, the developers are calling it a proof of concept right now, but I think it has potential. I, at least, would be interested in a portable version.
Looking forward to a reply,