Linux. When?

Damn Small Linux can be booted from a stick or run using QEMU off a stick.

Search google for DSL embedded to find a version that can be run inside Windows.

SimplyMEPIS has a "desktop on the go" option which works in combination with a live CD in order to be truly portable. As with any distro, there are pros and cons. Largest con is the requirement to carry a LiveCD with you. The pros included much better feature sets and hardware/network detection as compared to DSL.

Here is some info from the www.Mepis.org site:

"The MEPIS Traveller Disc is a unique application that allows users to save their home directory to a USB key, which is then recognized on any computer running MEPIS. By saving the entire home directory on a USB jump drive, a user can easily transfer all of their personal settings, including Internet browser bookmarks and desktop configuration, plus any files, such as documents and pictures, from one computer to another. Also, the Traveller Disc lets multiple users share the same computer without ever saving any of their personal information to the hard drive. And, since the MEPIS operating system can run from CD, a person could run their home directory from the Traveller Disc with MEPIS on CD and never save anything to the computer's hard drive. The MEPIS Traveller Disc provides mobility and convenience for users without bringing along a laptop. Imagine going on vacation, carrying your Traveller Disc and MEPIS CD, and being able to use your own desktop in a cybercafe!"