There are several that I have heard of. The Linux Router Project is small and can be run from a floppy, flash drive, or external Hard drive.
I have heard of
Smoothwall being run from a Flash Drive, and this link may help.
I have personally used the Mandriva Flash v2008 and highly recommend it as a bootable Flash Distribution. It is a complete Desktopdistribution on a 4Gb Flash Drive, but it is not designed to be a firewall although it could be configured to do so using iptables and writing logs to a HD or external location.
Finally, the Yoggie Pico is a complete Hardware Firewall in a Flash Drive type form factor.
Just some suggestions. Good luck.
Hans,> What is the name of the stripped down Linux OS that you can boot from
> a cd or USB thumb drive and use as a diskless firewall box?