I like to keep my personal development environments on a USB drive, because i spend a lot of time on computers other than my own (mostly because of business trips).
So I felt the need to try to create a Magento portable environment.
This is as simple as using EasyPHP. It contains Apache, PHP, MySQL and phpMyAdmin.
It is by itself portable, so all you need to do is copy the root folder to your USB drive. When run, it detects that it was launched in a different directory and updates all configuration.
If you want to develop as well as having a running copy, all you need to do is to download Eclipse for PHP. It can be run on the USB drive as well.