Cactus Game Design Message Boards

That depends.  Also, if it's not a U3 drive, it's a bad idea to run things off of it.

It varies from game to game.  A general rule of thumb is that the more complex the game is, the less likely it'll be to run.  Does it depend on the Registry or anything else saved on the computer (appdata/My Documents)?

Before I got my laptop, I ran World of Warcraft from an external hard drive when I wasn't at home, and it worked great (if the computer had crappy hardware, though, it sometimes lagged or looked bad, but the game ran from the drive fine). I don't know about flash drives, but external hard drives aren't too expensive (especially if you just need a small one) and that would be a mobile alternative.