You can make VMware ESXi run from a USB drive.
Nowadays the USB drives are so large and fast and best of all you can buy it for just a few euro’s.
This small tutorial will show you how to install your ESXi on a USB drive :
http://www.vminfo.nl/wp-content/uploads/2008/08/vminfonl-guide-create-an-esx-3i-usb-boot-key.pdf
Have fun.
This is also possible to do from a Linux system [1], it’s also possible to add support for some additional hardware such as SATA controllers [2].
[1] http://kuparinen.org/martti/comp/vmware/esxionusb.html
[2] http://blog.torh.net/2009/02/22/running-vmware-esxi-hypervisor/