Portable Python

http://www.portablepython.com/
currently, based on py25 on windows
Portable Python is a Python programming language preconfigured to run
directly from a portable device, enabling you to have, at any time, portable
programming environment. Just download and extract to your portable device and
in 10 minutes you are ready to create your next Python application.

BTW: in fact that is easy to make python portable, I have write a launcher in http://freebasic.net at http://blender.bokee.com/5396621.html . This method is better because: 1. it is small 2. it runs on more platform