Hi Kovid - I'm just preparing to travel with a SanDisk Cruzer 16GB. I have the basic U3 (not using it) and installed the Portableapps thingy with a bunch of apps I like to use.
One of the major apps is (of course) your wonderful Calibre as I intend to buy a PRS-505. After following numerous threads on moving Calibre to my Thumb Drive,

this is what I did and it appears to work - at least I've just tried it:

Install Calibre 0.6 on my PC. Copy the Calibre directory "as is" to my Thumb Drive. Completely uninstall Calibre from my PC (using "Your Uninstaller 2006"). Launch Calibre from my Thumb Drive and select a PDF file and convert it to EPUB and also to LIT. It all seems to work, though none of the PDF illustrations (drawings, not photos) were converted - only placeholders inserted.
Is this procedure correct? am I missing something?