The live versions of Ubuntu are pretty much what the HD versions are like, except slower on certain (old) machines. That's why I have my Ubuntu dual-booting. The box it's on is only a 2 GHz machine, which is not too bad, but the connection to the cd drive is relatively slow and much slower than just running it from the HD.
There are some flavors of Linux that are made to run off of USB drives, which they all seem to prefer to call pen drives, that are small and sleek and much faster than a live disk. The trade-off is that they don't come with as much software, though they still support it, if you were to create a new partition on a hard drive to store it, or on your 'pen' drive if it's a big one. The smallest distro I've seen, and it's not even a pen drive distro, is 450KB. It's designed to run VMWare virtualization, and doesn't even have a GUI.
