Installing Linux to a USB stick.

I am interested in making a "linux on a stick" that I can boot into and run programs and save data just as if it was a hdd installed in the machine.

Can I just "install" a distribution to a USB memory stick and use it as a portable "machine"?

I'm not new to computers and I have been running various distros on various machines for the last couple of years, but I am FAR away of being a linux guru.

This is my first post here.

Any help or advice is appreciated.

EJ