There are probably other methods, but Rufus (»
rufus.akeo.ie/ ) seems to be a great little program. I just tried loading the ISO of Astaro Security Gateway onto a 2 GB pen drive and the installer started up properly when I rebooted the PC. I haven't tried other ISO's, but I would assume that pfSense, etc. will also work fine.
Rufus can also create bootable flash drives with MS-DOS and FreeDOS (useful for BIOS flashing and other tasks). The price (free) is certainly right.