> Anyone have any experiences?
I have done a number of installations of GNU/Linux onto a thumb drive.  It is always handy to have a copy of RIPLinux (especially) in your pocket.  Since you seem to want a full distro, though, I recommend you try RMS GNU/Linux  (http://rmsgnulinux.org/)

RMS GNU/Linux is based on Slax, which is a distribution specifically for thumb drives.  It should be much more trivial to install than Ubuntu.  You just extract the archive to the drive, and then run an automated script which will set up the drive to be bootable.  

Please let us know if it works.

-Max