A have faced recently a typical situation: a company-issued laptop with preinstalled Windows and a need to run Linux on it. To avoid all IT issues, I have chosen to run Red Hat Enterprise Linux (RHEL) off a removable USB drive. The installation was certainly not trivial, so here is the list of gotchas for other folks out there:
When booting from the installation CD (with USB drive
inserted, naturally), type
when prompted by the boot loader. Otherwise, much later in the game, you will not see your removable drive.
Select manual partitioning using Disk Druid; create swap, /root, /boot, and /var partitions. Memorize the device names for /boot and /root (usually /dev/sda1 and /dev/sda3).
While configuring the boot loader, check the "advanced options" box
On the advanced boot loader configuration screen, make sure that your USB drive (typically /dev/sda) is at the top of the list (the boot loader info on the previous screen will not change - this is OK)
Reboot from the CD again
Skip the search for Linux image (as it will not be found).
Now add the USB drivers to the initrd as described in http://www.simonf.com/usb/
Now you can boot from the USB drive. Enjoy!