"Getting Linux to run on a USB Drive may easily seem to be an
overwhelming process, but we put together a very simple guide that
an absolute novice could follow.
"We successfully installed a distribution of Damn Small Linux on
a Lexar 512mb Secure Disk USB 2.0 Jump Drive and it worked quickly
and flawlessly. There's no guarantee that every USB Drive will boot
Linux using this method (for example, the new Imation 256mb
Wristband Drives would not work properly), but we feel a vast
majority will work fine..."