Tuxmachines.org has a howto for putting Knoppix on a USB flash drive and making it bootable.
Of course, it can be even more portable when it runs entirely off of an inexpensive USB key. So let’s install it to a 1 GB USB key, and create a persistent home directory in which to store files. Only let’s do it the lazy way, and keep use of the command prompt to a bare minimum.