If you want to try Linux with the easiest method possible then Slax is a good choice.

It is small and very fast and presents well on the GUI. I have Slax installed on all my pendrives, it takes very little room up and changes are persistent unlike Ubuntu Live CD where you loose everything on reboot.

You do need to be able to boot from USB unless you go for the CD image but there is little point in that as if you are blowing a CD you may as well use Ubuntu.

It is not something that you would use for a full operating system, It really is just for trying it or, as in my case, lets me have a method of using a proper operating system on other people's computers.

This is just a link to the first Google hit, there are loads of others but this one seems to be correct.
USB SLAX installation using Windows | USB Pen Drive Linux