One technique that I have used successfully to run utilities that come with their own installer from my USB flash drive. I run the installer application and install it on my local hard drive. I then copy the program's folder out of the C:\PROGRAM FILES folder to the USB drive. I then uninstall the original program from the computer.
To test the program, I try to run it from the USB flash drive. The uninstall technique will let you know if the program has any dependencies (such as DLLs, or registry entries) that will prevent it from running properly on another computer.
Finding Programs for your USB Drive
There are sites on the Internet that host programs that can be run from these devices, for example there is TinyApps.org and Roadkil.net. These sites contain several different types of useful utilities and other miscellaneous programs.