Although live CDs have a lot of advantages, they don't fit in your pocket easily, which means you may not always have one around when you need it. Fortunately, most live CD images can be installed onto a USB flash drive, giving you most of the benefits of a live CD.
Since most modern computers can boot from a USB drive, live USBs can be used in almost all of the situations a live CD can. The fact that a USB drive can be written to is both a benefit and a drawback -- on one hand, it isn't as resistant to intrusion as a read-only CD, but on the other hand, you can save configuration details, store documents and other files, and download and install new software to a USB drive, which you can't do with a live CD.
If trading a bit of security for the portability of a flash drive seems worthwhile to you, there are several tools that will easily install a live CD image to a USB drive. Two of the easiest to use are the Universal USB Installer and the Linux Live USB Creator, both of which walk you step by step through the process of converting a CD image to a USB drive.
They have each been tested with various versions of Linux -- though the two lists of versions that each one has been tested with differ slightly -- and you can try any untested system with either and it might still work. However, there are just too many versions of Linux out there for either to guarantee 100% compatibility. One nice feature both offer is the ability to configure a USB-based Linux to run in a Windows-based virtual machine, so you can effectively launch Linux within Windows -- that's useful if you're using a public machine that you're not able or allowed to reboot.