The Uniform Server - run a web server off your external drive (for Windows based PC's). A useful way of developing your websites, no matter what PC you are using. No need to install anything. Server is Apache and includes MySQL, PHP and Perl. Can be used as a production/live web server (just copy the files over to the server hard drive).
Edit (17-Jan-06): Site is down, but you can still get it from SourceForge.net: Uniform Server.