I am also curious to hear from anyone who's got this to work. I installed Crunchbang to a 2gb thumb drive with mixed results. Installation was really easy. I physically disconnected my computer's hard drive (this step may be unnecessary, but I was paranoid the installer might somehow mess up my Grub). Then, I booted from the #! Live CD and installed to the USB drive just like it was a normal hard drive. When I rebooted, it worked amazingly well--Crunchbang on a stick!
However, here is the catch. When I reconnected my hard drive, it will now no longer boot from the USB. It always boots from the hard drive instead. It may just be a bios issue with my computer--I have not had a chance to test it on a newer computer. I know how to change the boot order in bios, but unfortunately, USB does not appear as an option in the boot menu.
Any suggestions, anyone?
ps Ruud, you could try disconnecting your hard drive like I did. This will help you troubleshoot whether or not your USB install is bootable or not. I am not familiar with the syslinux method you used; like I said, I just installed Crunchbang using the normal method (it was really easy).