I know exactly what you just said when you read the title: “Why would I need that?” Well, GetUSB answered that question with a really nice, detailed article on running WordPress on a USB Stick. His particular environment for needing this: Jury Duty. The article is complete with screenshots and detailed info on how to get this set up yourself.
Now, onto the gadget itself: the WebServUSB stick. Only the size of your typical USB thumbdrive, but running services like a Web Server, FTP server, an e-mail server providing both POP3 and SMTP. The Web Server is configured with CGI, Perl, PHP, Python, and MySQL. You can also get streamed RealAudio and WIndows Media going as well.
Now, why might you do this? You can set up this partially isolated environment that safeduards the rest of your computer from vulnerabilities that may be exploited on the USB stick itself. You can also just use it as a test environment for testing out stuff for your site without messing around with your site, or doing what the GetUSB dude did which is to have a portable server environment without having to lug around a computer.
More Details on the WebServeUSB
(Please note prices are subject to change and the listed price is correct to the best of our knowledge at the time of posting)