It's not a very obvious characteristic. I think Knoppix 3.3 also includes Apache-SSl http://www.apache-ssl.org/
, which makes it even more secure. However, in order to have a convenient setup, it's best for your website to fit on a floppy disk or CDROM (the latter is possible only if you have a second CDROM drive). Otherwise, you have to copy it to the ramdisk. There's a "save configuration" program, which works well with saving all the settings to the HD, except for desktop files. And saving to the HD ruins the benefit of Knoppix not touching your system.
Also, it can be a bit slow from a 48x CDROM or floppy.