AltHack has posted a guide for installing previously-mentioned OS Damn Small Linux on a USB drive.
The guide requires a thumb drive of 256 MB or larger, but other than that it should work on most USB drives. Also, in order to run Linux from your USB drive, your BIOS will have to support booting from your USB device, but most newer computers will be able to do this.
Having a full, lightweight operating system on your thumb drive could be very handy. Aside from all of that, it’s an easy way for a Linux beginner to try out a low-risk Linux installation. If you’re not interested in Linux, you can also try booting Windows from a USB drive.