I don't know of too many MB's that support booting from USB or other stuff like that - but I haven't played with too many really new MB's/BIOS's either. The standard way for building a disk-less box would be to boot from the network, which most reasonably recent MB's can do, and many older MB's will do with a decent NIC.
The really cheap way to do it that will work with virtually any MB / boot option is to put your micro-linux kernel on a floppy disk, and just embed the floppy about an inch inside the case so you can still put a drive-bay cover over it. From the floppy, create a RAM-disk, load the kernel into that, and then run the OS from the ramdisk. If you need to you can even save some config options back onto the floppy if you want to (eg. a name of a remote file server to get more OS modules from, MP3's from etc.)
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