Actually this is already possible. I have used lazarus on USB for at least one year in the past.
The reason this is good its because you don't mess with the registry or other windows system files. It will be pure like the DOS way, one folder for that program.
I personally only use portable applications, or from portable apps, or I use Universal Extractor to extract the program from the .exe .
What would be more difficult is a Linux portable version, cause you cannot check for dependencies.