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Depends on the distribution...

The easiest way would probably be to use something like Damn Small Linux. It's relatively easy to set up and get working. Just run it from the liveCD and install it on a USB stick from there. You could even buy a usb stick with damnsmalllinux already installed on it from their site, but it's relatively expensive.


http://www.damnsmalllinux.org/wiki/index.php/USB_Booting

or
http://www.damnsmalllinux.org/wiki/index.php/Installing_to_a_USB_Flash_Drive
(slightly more complex)
 
You will probably have to hold down Option (alt) or if you are feeling adventurous then you can hold down menu on your apple remote.
 
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