I scorched a FFx 1.5 nightly onto a mini-CD for whenever I'm at university.
I don't have any USB sticks and my MP3 player requires a USB cable (the one before that broke because the built-in male USB connector became loose -- #1 cause of death for USB sticks), plus many of the computers run Win2k or don't have front-USB.
The disc is small enough to keep it in my wallet and it does the job. I've also got Opera on it for cross-browser testing (since all the computers have Windows, adding IE 6 was not neccessary), jEdit for source code editing (if the dweeb that set the system up didn't allow the Zip tool to be the default application for Jar files and set file associations as admin permission only) and a hex editor.
I could've added more, but that's the basic list of on-CD tools I need when working on a different computer.
Compilers would have been neat, but right now I only work with Borland and Eclipse and the latter is installed on all university computers.