You can run a separate operating system from your USB flash drive so you won't have to modify your computer's hard drive. If you're curious about Linux, for example, you can buy a USB flash drive with Damn Small Linux already embedded in the USB pen or install your favorite Linux OS from the USB drive using Pen Drive Linux.
It's even possible to boot Windows XP from a USB flash drive, which can be useful if your PC is unbootable and you need to get back into it to troubleshoot and repair.
