I tried ubuntu live plus various other installs (from pendrivelinux.com). I had quite a few teething problems and never really got off the ground.
For me, "puppy linux" worked well. www.puppylinux.org
Downloaded the ISO, burn to CD and booted. I simply paritioned the [pendrive]"disk" into 2 and installed puppy into the 1st. Puppy actually is designed to run in memory or from a pendrive. Went without a hitch.
If you MUST have ubuntu, expect some work to do!!