I'm kinda partial to
Gentoo LiveUSB, myself... though I honestly have my own reasons for such. Instead of going for universal compatibility like most liveCD and liveUSB distros do, I configured this to only work on a Via C3 (or in my case C7) CPU. That way the machine is useless until I stick my USB "key" into my car
.
However, as a universal liveUSB distro, it's pretty solid. As long as you keep the stick in read-only mode, it's lightning fast and won't destroy your stick.
The reason you'd want it in read-only mode is because of a limitation of Flash - a limited number of writes before it becomes a paper weight. Basically, you keep a "scratch pad" in RAM to write to, and on shutdown you do an rsync back to the stick to record finalized changes (and only the changes - not a single byte that didn't change is re-written... well, beyond file system limitation, at any rate). Cool stuff.