Unlike windows, which is monolithic, mot stuff in linux is provided outside the kernel. (Though the recent kernels have been critisised for getting bloated.) So practically all of the functionality provided by nlite can be done outside the kernel.
However - it is posible to downsize the kernel.
The lite distros (DSL etc) and the ultra-streamlined ones (Yoper etc) have default kernels optimised already. If none of these suit, then your best bet is to recompile your kernel... this is a simple(ish) process these days, with a gui thingy which gives you a tree-format teling which things you can compile and as what. It also provides information of what each bit actually does.
One way to get a very fast kernel is to compile only the bare minimum you need, but into the kernel rather than as modules (for eg).
But the main way to customise under linux is just to find a distro already doing most of what you are after, then shutdown the services you don't want. (Most distros have a gui to do this - the program is still installed, but it ain't using runtime.)
The example of this that springs to ming is from
www.mjmwired.net in the notes for the various fedora core installs.