You can go for a lightweight distro like Damn Small Linux(DSL).
But beware, light weight distros dont come with lots of eyecandy.
And you will have to run around these forums quite a bit to tweak it to your liking and get your dream system.
The best would be to download a minimal install iso image, install it to harddrive, configure your internet connection and package manager, and grab only the things you need off the net. Its all very easy once you have configured your internet connection, and that of course depends on your type of internet connection.
Or (horrors!!!) not having an internet connection.