NewsForge has an article describing how to get SLAX installed and running from a USB pen/key/jump/thumb drive. Useful information that can probably be applied to other LiveCDs as well.
Slax is a powerful and complete bootable distro based on Slackware, equipped with kernel 2.6, ALSA sound drivers, Wi-Fi card support, X11-6.8.2 with support for many GFX cards and wheel mice, and KDE 3.4.