Is there any specific reason to use Ubuntu? If not then you can try http://www.pendrivelinux.com/, which has HOWTOs with Puppy Linux and Knoppix.
For Fedora based systems, there is a tool called Kadischi which generates a customised live CD from a specified repository of RPMs. Kadischi is still in beta stage, but they are planning to make it capable of generating live USB devices and not only CDs.
Cheers, Debarshi