I’ve been in between computers lately, working on an old Win98 machine with 98 MB of RAM. In my attempt to make that machine a little faster while shopping for a new PC, I tried out a few distributions of Linux, one of which is a portable Linux called Slax. I ran it off a CD but you can run it off a flash drive just as well. Instructions on how to do that can be found here: Linux on a Stick.
On the Slax site, they have tons of “modules” which are compressed software files and a huge selction of games (134 of them to be precise). Slax is a a pretty neat distribution as you can have any operating system on your PC and still have Linux by booting from CD or flash drive.