Pretty much depends on the machine you wanna boot from the thumb drive; not all machines will boot from USB. Without an operating system on the thumb drive, the best you're gonna get will be DOS, provided DOS is on the subject machine in the first place..
I often use a thumb-drive version of BartPE
when the client machine supports booting from USB. A version of Linux called Damned Small Linux
is fairly well suited to thumb-drive (in fact, they sell a thumb drive pre-loaded with D
inux on the website - but its easy to build your own). I've found that handy too. Both can be burned to and run from a bootable CD, which pretty much is their original intent, and the way I most frequently use either, but they work from a thumb drive if the machine supports USB boot devices. Either way, you can work on a machine pretty much to your heart's content without invoking the machine's resident operating system at all - the machine's OS simply isn't running, period.
A place to start chasing down what to do and how to do it:
Make Your Thumb Drive Bootable