Unetbootin is a very useful thing, enabling you to make a Linux 'pen/drive' for any of many different distributions. Some it is even set up to download the iso file itself, but it will also work with plenty of others if you download the iso direct from the net. A few distro's do not work with Unetbootin, I expect there's a list somewhere but I've never looked. This is not quite the same as the portable app, but may be more useful if you are intending to actually install Linux.

In many cases you can try a distribution live from a usb stick before deciding whether you like it enough to go ahead and install. This gives a more realistic trial than using a CD or DVD, as the USB drive reacts much more quickly, and no discs to buy either. You need to check that your PC can be set to boot from a USB drive, I have one 12 year old laptop which cannot.

http://distrowatch.com/ is a good place to find more different Linux (and some other) distributions than any normal person will need. Mint is a well-liked possibility, and seems particularly beginner-friendly.