I’m using PortableApps on a USB drive — very nifty stuff.
Since my drive is only 256MB, I installed the “light” suite, which gives you Firefox, a secure password store, a PDF reader, a Word-like program…pretty much everything except for OpenOffice.
I have Firefox configured to clear all the private data each time I exit, so it won’t retain any sessions, in case I lose the drive. It’s a fairly secure setup. I also ordered an 8GB drive, on which I’ll install the full portableapps suite, as well as Truecrypt. That should provide a fully secure, mobile solution for browsing, a doc store, and OpenOffice.
As far as I can tell, this setup leaves no digital footprints on the host machine, aside from some things lingering in the “recent docs” menu. But no cookies, or anything like that.