Arnold Veenema a colleague of mine wrote an interesting item on his website about how to create your own bootable USB stick with ESXi (Previous called ESX 3i) using the download of the ESXi installable ISO-image. In twelve easy steps you will be able to use your own USB stick with ESXi!

Take a look at it here:

http://www.veenema.net/index.php?Virtualization:HOW_TO_Create_your_own_bootable_ESX_3i_usb_stick