But the Knoppix guys really have a good setup. You can encrypt local storage on the stick so that someone else can't get to your data if you lose the drive. You can install applications that are persistent and available the next time you boot the stick. In essence, you have a portable computer that just borrows whatever hardware you boot it on.
I made it a habit to keep a knoppix thumbdrive in my pocket. You never know when you might need to kill a virus off some poor windows users system. But recently, I truly realized the utility of this system on a thumb drive..
I'd set up Chrome on it as the browser, with sync enabled so it always has my current bookmarks, and extensions. I love that feature of chrome. I can add a bookmark on my desktop, and when I'm on my netbook, my Commodore Vic Slim, or my knoppix system, I'll have the bookmark. Google should take syncing one step further and sync open tabs and the last page you were on before shutting Chrome down. Then I could finish reading that interesting article without having to find it again.
As an I.T. professional, I sometimes have to work from home. I have my desktop set up with openVPN to talk to work, and vnc in to my workstation to let me do almost anything I can do while actually at work. Well, why not set up similar on the Knoppix system? So I did.
Now, I have an emergency computer of sorts always in my pocket. Lets say that my desktop systems hard disk fails some night, you can't predict hardware failure, and the system drive dying late at night would put me out of commission if I had an urgent call from work.
How about when I'm visiting friends or my folks? They all have internet connections, I could pop in the knoppix stick and boot to my system to get to work within a couple of minutes.
It's really an ideal solution to always having something to rely on, conveniently bouncing away in my pocket. No need to drag along a netbook, just in case...
Check out Knoppix, it's one of the best portable live Linux distros out there.