That process is called remastering, I believe. Here's a guide to
remastering Knoppix (note I've never done it). But I would google for "remastering your_distro_of_choice" if you're interested in something else...
Another alternative I use since I like Debian is to install a base system (just a bare install, no x or anything). Then apt-get myself all the programs I like. Then I just do a
dpkg --get-selections > myselections.txt. Then you can just carry around a text file when you install. Once you've installed your new bare system, you can just do a
dpkg --set-selections < myselections.txt && dselect update && apt-get dselect-upgrade to install all the same packages. Then the only thing you have to do is fiddle with configs.
Anyway, it sounds a lot more painful than it actually is...