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The best one is the one that will do what you want to do. Writing shell scripts can be done in any of them - you'd probably be looking for a decent text editor - so that'd mean either Emacs or Vi (Vim is the "improved" version of Vi).
I suspect that you'd be able to do that with knoppix - not sure what text editor it comes with, but as you'd probably be using it "live" i.e. from the CD, you might want to look into "persistent home directories". It should be in the knoppix documentation.
If you are considering actually installing a distribution and you already used Ubuntu, the next "logical" step would be Debian (but what is logical with so many excellent distros around?). Don't be overwhelmed by the huge set of install cds; you only need the first one, unless you haven't got an internet connection and installing from disk is all you can do. btw, Knoppix is based on Debian and so is Ubuntu (to mention just a few).
Probably any modern distro will do what you are describing. I have not tried Knoppix but I've heard very little about it that isn't good.
The biggest difference between distros is not in the shell scripting. It is in the GUI desktop environment, the bundled software packages, and the installation methods. Almost all of them AFAIK use Bash as the default shell. I expect most, if not all major distros, will support writing to usb flash.
If you're just going to write scripts, you won't even need to sign on to the gui desktop. You can do everything from the command line and the command line utilities. vi (or vim) is all you really need, at least once you surmount its learning curve.
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