There’s a great article on linuxdevcenter on how to create your own bootable Linux CD based on Knoppix.
Using and Customizing Knoppix by Robert Bernier — Several Linux distributions boot directly from CD-ROMs. How many are usable in that state? How many are customizable in that state? Klaus Knopper’s Knoppix is perhaps the best known of these distributions. Robert Bernier explains how to use Knoppix and how to customize your own self-booting distribution CD.
The Linux Journal also has a great article on how to create your own bootable Linux CD based on any distribution of your choice.
I’m going to try creating one based on Fedora Core 2 as soon as I can finish downloading it. I’ll post the details of my endeavor.