Here are the apps I use most often on my USB drive. I'm including the size they take up on my stick, you can probably get them smaller by only copying the needed files, but there's plenty of room on my stick so I tend to download the full versions.
KeePass Password Safe - Free, Open-Source, secure and encrypted data safe I use often. Also versions available for Windows Mobile so I can have a copy of the database on my Treo.
http://keepass.info/1.8 Mb
CCleaner Portable - Excellent tool for cleaning up computers.
http://www.ccleaner.com/1.37 Mb
HD Tune - A hardrive benchmark and diagnostic application. Freeware.
http://www.hdtune.com/392 Kb
ClamWin Portable - Free antivirus scanner. A lifesaver when faced with serious virus/malware problems.
http://www.clamwin.com14.1 Mb
DTaskManager - Freeware - Advanced Portable substitute for Windows taskmanager. Very Nice.
http://dimio.altervista.org/eng/145 Kb
Folder Size v1.4 (RoteBetaSoftware)- Ever wonder what's taking up all the room on your drives? This piece of freeware gives you a visual representation of the folders sizes on your drive and allows you to drill down to individual files. Another great piece of freeware.
http://www.rotebetasoftware.com/freeware.html333 Kb
System Info for Windows (SIW) - Freeware tool that will give you almost any conceivable piece of information about your computer. Another tool I use often at work.
http://www.gtopala.com/1.22 Mb
7-zip Portable - Freeware zip/archiving software
http://www.7-zip.org/2.08 Mb
FastStone Capture - Freeware screencapture utility. Very good program.
http://www.faststone.org/1.24 Mb
And though it doesn't run from the drive and requires an install, I find it very handy to have a copy of the
K-Lite Codec pack on the drive.
http://www.free-codecs.com/download/K_Lite_Codec_Pack.htm6.75 Mb