There are alot of Live Linux dstributions. There is an very easy way to run a live distro from USB. Check: http://unetbootin.sourceforge.net/ 
Distributions with Built-in Support Link to this section
UNetbootin has built-in support for downloading and installing the following distributions:
Ubuntu (and official derivatives)
- 6.06 LTS
- 6.10
- 7.04
- 7.10
- 8.04 LTS
- 8.10
- 9.04
- Daily CD Images
- Stable/Etch
- Testing/Lenny
- Unstable/Sid
- 3.1
- 4.0
- 5- r1
- 6
- 10.2
- 10.3
- 11.0
- 11.1
- Factory
- 2007.08
- 4.4
- Stable
- Cooking
- 4.00
- deltah-2.1
- 6.3
- 7.0
- 4.0
- 7
- 8
- 9
- 10
- Rawhide
- 2007
- 2008
- 4-LiteMCE
- 2007.0
- 2008.0
- SimplyMEPIS 8
- AntiX 8
- 5.2
- 6
- 3.2
- Development
- 4
- 5
- 2007.1
- 2008.0
- 2008.1
- 0.5.4
- Stable
- Testing
- Current
- 0.8.9