There is a really cool new version of Damn Small Linux called the Metropipe portable virtual machine which is a virtual linux machine that runs from a USB key - it uses emulation technology to actually run DSL from the USB drive with all of your settings, data etc on the drive. You plug it in, double click on the machine and it starts up, giving you the same environment whether you run it from windows or linux. I keep one on my USB key for when I need to use other people's machines.