Foxit PDF reader has versions for Windows, Windows Mobile, embedded Linux (I have no idea what that is) and several portable systems; it'll run off a flash drive.
Sumatra is also Windows-only, and will also run portably.
Googling turns up free PDF readers for other platforms, but as I don't use the platforms, I'd rather not comment on them--I have no idea if they're too complicated, or too buggy, or terrific.