A pretty cool (but simple) technology that oft goes overlooked is the U3 USB technology. So, I think it would be safe to say that just about all of us have experience with USB flash drives - those little USB key storage devices that have reached the pinnacle of promotional giveaway ubiquity.
But, you may not know about the U3 technology that allows you to run certain applications from your USB key, leaving no footprint on the machine you are using. Here's an example. Let's say that you are a Thunderbird user that is always on the go. You don't take your laptop around with you and find yourself frequently using kiosks and other public computers. You don't want to use some freakin' webmail application. What do you do?
You get Thunderbird Portable Edition, a copy of Thunderbird that can run right from the USB key. You can plug the key into any computer, run T-bird from the key, and remove it when you are done. There should be no trace of your email data on that machine; it should all be on your drive, ready to go with you to the next computer. (BTW, this could be a good way for T-bird users to keep their addressbooks in sync across multiple computers. Just a thought.)
There is also Firefox Portable, FileZilla Portable, and the list goes on. Check out http://portableapps.com to see a bunch more.
Or, if you're feeling brave, you can create your own U3 apps by dragging and dropping Windows EXE's into Package Factory. Keep in mind that this will only work for programs that need little to no writing to the Windows registry. You can also set up your U3 apps to auto-run whenever you put the drive into a computer so that you don't have to locate the app and launch it.
Unfortunately, this technology is Windows-only. Also, if you want to try this, make sure that your USB key explicitly says that it supports U3.