Careful when creating portable apps> Hidden files may still be stored!
I've noticed this: some programs that apear to work portably, actually leave behind files in: C:\Documents and Settings\*User Directory*\Application Data (it's a hidden file) and in other places. When developing apps, it would probably be best to make sure your application doesn't do that.
Programs that do this:
uTorrent
Inkscape
Notepad++
USBOpera (I think so, but then again, since the physical folder is called "Opera" perhaps only the install version of Opera does this.)
Thankfully it only does this to the folder of the user you are logged in as.