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You can use almost any existing kernel that runs on the target host. The root filesystem can be either an initrd, or an NFS share. To use an NFS share, the kernel must be built with NFS root capability. If you use an initrd, then the host can run entirely from the RAM filesytem, or can later mount some other filesystem and use that, or can pivot_root to the other filesystem.
I have used TinyCore Linux as the basis for an initrd filesystem. I mounted the ISO on a loop device, and the used the following command from the root of the mounted ISO:
# Must use root privileges to preserve file permisisons
su -c "find . | cpio -H newc -o | gzip -9 -n > ../myInitrd.gz"
I found that customizing the TinyCore initrd was fairly straighforward, and am presently using it to this day in just the manner that you requested. My original root filesystem was actually based on the now defunct MicroCore Linux, which it appears is now called simply 'Core'.
If all you need is a pxe client with command line then use memdisk and some floppy image.
How bad are these thin clients anyway?
Might look at the latest Thin station 5.0. I haven't had time to play with it. Generally I use knoppix on the host and start knoppix terminal server. About the most easy way to get a pxe system up. Most knoppix 3.x to 5.x works. I can't get 6.x to work for some reason but there are a few versions that just fail as known.
jefro, I don't think you should assume that the motivation for using a minimal Linux is simply that the hosts are too under powered to support a full-on desktop distro. There are lots of good reasons for not wanting anything other than the minimum amount of code to support an application. Not all Linux hosts even have 'users'. Or floppies, or any other media from which to boot.
Does the kernel have a built-in driver for the NIC? Do you see DHCP requests arriving at the DHCP server (usually shows up in system log; /var/log/messages)? There should be two consecutive DHCP requests: one from the bootloader, and the second one from the kernel. Does the NFS server export the share to the particular IP that the PXE-boot client is assigned?
Is it the same kernel in each case? NFS-Root enabled in the kernel?