Windows only: Free application Portable Ubuntu for Windows runs an entire Linux operating system as a Windows application. As if that weren't cool enough, it's portable, so you can carry it on your thumb drive.
Built from the same guts as the andLinux system that lets you seamlessly run Linux apps on your Windows desktop, Portable Ubuntu is a stand-alone package that runs a fairly standard (i.e. orange-colored, GNOME-based) version of the popular Ubuntu Linux distribution. It just doesn't bother creating its own desktop, and puts all its windows inside your Windows, er, windows.