I assume a usb key qualifies as a disk-on-key...
Are there any ground rules like you must boot from the usb key or any application you put on the key must start automatically when the key is inserted?
If it must be bootable,
http://www.tomshardware.com had an article recently about creating a bootable usb key with windows xp. You could then put any application (that will fit) on it and automatically run it - a simple, but useful idea might be to launch a music player and start playback of a playlist.
If you don't have to boot from the key, you could put any application and data on it that you want, but would have to write code to automatically launch the application.