There has been extensive discussion on another forum of putting Moodle on a CD or USB flash drive, http://moodle.org/mod/forum/discuss.php?d=5507. Many of the issues discussed there will be applicable to your situation.
If you have a Windows notebook, EasyPHP will be the easiest to setup and run as a service. While it takes a a little more effort to setup as a Windows service, XAMPP particularly mini-XAMPP does a good job and is the one recommended for running Moodle from a USB flash drive. Others have been recommending Knoppix to run from a CD.
I've never given a live demo with Moodle but I have given numerous live demos from a "server on a notebook" of another commecial CMS. Very handy if the organizer did not have an Internet connection or worse, a flaky one that would die 5 minutes before the presentation. And wireless is definitely not to be trusted when doing a live demo.
With many of the current notebook computers, you could even run a decent workshop of 15 participants.