Portable Linux
A flash drive, preferably 512mb or more, you can do it with less, but bigger is always better.
Preferably a network connection although not necessary if you already have the ISO.
Step 1:
Download an application called UNetbootin from the reference link below.
Step 2:
Either select the distribution you would like to run on your flash drive.
OR
UNetbootin gives you the option of using an already downloaded ISO OR automatically downloading the ISO for you as well as installing it.
Step 3:
Boot into your new device!
An instance where I have recently used this was by installing Debian on a machine that had no OS and no CD ROM drive.
So I booted to the Debian installer which was on the flash drive thanks to UNetbootin, and was able to install from that and a network connection.
Basicly the installer for the distro you choose lets you choose where you want it installed to, whether the actual hard disk or the flash drive itself.
I haven't tried installing to the flash drive itself using this method, I have only installed to the flash drive using actual bootable/portable OS's that were installed with UNetbootin such as Damn Small Linux.