UNetbootin allows you to create bootable Live USB drives for a variety of Linux distributions from Windows or Linux, without requiring you to burn a CD.

Take you favorite flavor of Linux, and create a bootable USB drive that you can take with you.  You can select from the list of pre-defined distributions, or point the utility at a disk image.  Unetbootin comes with loads of distributions to choose from and takes the pain out of creating bootable USB drives.  The tool will download the CD image for you and do everything needed to complete the process.  You tell it which distro you want, and then point it at your USB drive.  It doesn’t get any easier.

This utility is free.  You can find it at http://unetbootin.sourceforge.net.