USB pendrives are actually an unvaluable device to always easily take with
you all your data and programs (I've always with me one of them) but actually
with an USB pendrive you can do more. Modern PCs support booting via USB and on
a USB pen you can actually have all the applications you need for an
everyday usage.
I have a 1GB USB pendrive where I've installed some "portable" applications
and I've always with me all the tools I need: no matters what PC in working on
and what are the tools installed on it, I've to just plug my USB pen and I'm
ready to go. 
I've installed this tool on my USB pen:
- Portable
Firefox - The portable version of my favourite browser;
- Portable
Thunderbird - The portable version of my
favourite email client;
- Portable
OpenOffice - The full-featured OpenOffice suite that works
directly from an USB pen (wonderful!);
- Portable
Gaim - The portable version of the
Jabber-based instant messenger that works with AOL, MSN, Yahoo! and many
more;
- Portable
FileZilla - The portable version of my favourite FTP
client
- Portable
NVU - The portable version of a web page editor
based on Firefox (good for basic editing operations)
- Portable
Sunbird - The portable version of the Mozilla's
based handy calendar and task manager
There's only a thing that is missing on this list that I'd like to have:
Portable Visual Studio 2005! 
When?? 