UNetbootin is one such free application which allows you to install various linux / BSD distributions to your hard drive partition or USB drive connected to your computer.
You can even create a disk image (ISO) simply on your computer and later burn it on the disc. This small tool is created by ubuntu which will help you install a wide variety of linux distributions on your portable USB drive.
The only requirement to run this application is that you need to have a USB or enough hard drive free space, another thing you will need is the broadband internet connection to download the files required.