Windows only: Free application uSbuntu Live Creator installs a Live CD from an ISO image onto your USB flash drive—much more useful, portable and easy to deal with than carrying around a CD.
Once you've downloaded and extracted the application, you can pick a USB drive, pick the source for the copy of Linux, and even format the drive all in one simple application. There are options for creating persistent storage, so you can save your settings between uses, and you can even boot from VirtualBox if you wanted to.
uSbuntu Live Creator is a free download for Windows only. For more, check out the previously mentioned Unetbootin utility, which does the same thing in a similar way.