LinuxLive USB Creator is an open-source tool which makes it easy to run your favourite Linux distro from a USB stick (maybe without even rebooting your PC).
There's a lot of complexity in what the program is trying to do, but a sensible wizard-type style ensures it's still fairly straightforward in operation.
You'll choose your USB stick first, for instance, then select the Linux distro you'd like to try. You'll find plenty of big names on the list: Ubuntu, Fedora, Debian, OpenSUSE, Mint, Slax, CentOS, ArchLinux, Gentoo, PCLinuxOS, Sabayon, BackTrack, Puppy Linux and so on.
LinuxLive USB Creator is then able to download the appropriate LiveCD for you automatically, even quickly testing several mirrors to find the one that's fastest for your location.
If your chosen distro supports persistence - the ability to install software and save your data - then you're able to allocate some space for this just by dragging a slider.
And most handily of all, checking "Enable launching LinuxLive in Windows" caused the program to download and install a portable version of VirtualBox on the key. And that enabled us to run our test distro (Ubuntu 12.04) without having to reboot Windows: we just double-clicked "Virtualize_This_Key", clicked "Try Ubuntu" when the option appeared, and were able to see and work with Ubuntu in a VirtualBox window on our Windows 7 desktop.