There's a good article by Kyle Rankin (author of Knoppix Hacks): "Knoppix 3.8 and UnionFS. Wow. Just Wow."
http://www.oreillynet.com/pub/wlg/6654

According to Rankin: "This also means that if you set up a persistent home directory, you can potentially back up all of these changes and restore them at boot. In fact, Knoppix 3.8 already has a modified persistent home script that does just this (although it's still a beta feature so expect to see bugs here and there). Knoppix can even detect when you have done this on a drive when it boots, and will let you choose what features to restore from this image (if any). If you let it time out, Knoppix does the safe thing and doesn't load any of the settings."