It's extremely easy to run Linux from a usb drive. I have sidux running from an 8 gig drive on my dell latitude and I use it far more often than I do Windows. Sidux had an option to install from a usb drive, so I didn't have to do much more than check the "install to usb drive" box. I'm also running sidux from my desktop, but I don't have Windows here.

Sidux has a reputation of being a very cutting edge and challenging version of Linux, but in my experience it is quite easy. Another distro that works great with my laptop wireless is Puppy Linux (which runs great for me on a 2-gig usb drive). Wireless is one of the sticking points with Linux, in my experience -- sometimes the proprietary wireless cards are difficult to get going, but not very, in Puppy Linux and Sidux, and it's getting easier everywhere.

Linux is way faster than Windows. The main reason I was ever running Windows was because Windows has much better text-to-speech than Linux, but now that my Treo runs Audible books for me, I have less reason to run Windows than ever.