I've been using different live CDs for years now, starting with Knoppix. If you've never tried Linux, a live CD makes a great way to give it a spin. The latest DVD-R versions of Knoppix contain almost everything I'd want out of a Linux install, all from a zero-footprint bootable disk.
These days I alternate between Knoppix and Damn Small Linux, depending on what I need from the machine or how old and slow it is. I carry a 1 gig USB key anyways, so I can save off anything I need to keep or work on.
With a mini-CDR of Damn Small Linux, a Linksys WPC-11 wifi card, and my USB key, I can pick up pretty much any old laptop with a CD-ROM drive and boot it up into a useable environment.