MacCentral has a useful tutorial on using portable applications on a Mac, a process complicated a bit by the Intel transition. To maximize the chances of your applications working with another OS X-based Mac at full speed, you’ll want the universal version of the program if it’s avaiable. In general, there’s a decent suite of Internet-friendly open source programs, including VLC as the media player. The piece also includes some helpful hints and cautionary advice about the dangers of keeping personal data on an easily lost flash drive; some of these are quite tiny these days.
I can see how this kind of functionality might be useful in, say, a lab or campus environment and perhaps even more generally for Windows-based solutions such as the slick MojoPac where you have a better shot of encountering such a PC in the wild. However, how often does the average person who wants to, say, access the Internet with a portable version of Firefox come across a connected computer with a free, accessible USB port and which allows the running of unauthorized applications?