Here I will list all of the tools that make creating a multiboot USB drive easy and fun.
1. YUMI. This program does all the hard lifting. Choose the utility or Linux distribution you want to add to your boot menu and it will do the rest. The built in format function is great for drives up to 32GB.
2. GUIFormat. When you have a USB stick greater than 32GB, it will not format in a bootable manner with most utilities. GUIFormat handles large drives with ease. So you would format, say, a 64GB USB drive with GUIFormat and then proceed to use YUMI to add your tools.
[I'm going to save you 15 minutes and point out that the download link for the 32bit version of the program is the screenshot itself!]
3. BOOTICE. This is a low-level utility for tweaking your USB drive. In several clicks you can wipe, repartition and format the drive. BOOTICE will default to exFAT format on large drives over 32GB. One important use for BOOTICE is to correct a wrong drive type. For most situations, you will want the drive to show up as USB-HDD removable with a single partition. Sometimes the drive comes up as a fixed drive or maybe even a floppy. When repartitioning the drive, BOOTICE will allow you to select the correct setting. Then you can proceed to reformat with GUIFormat if you need to.
Several tools I have loaded on my own USB multiboot drive:
1. Clonezilla. Indispensible at work, since that is what we use for imaging. Good for other places as well.
2. Ultimate Boot CD. Tons of diagnostics for PCs, now even better on a USB drive!
3. Hiren's Boot CD. Loads into a stripped down version of Windows XP. Lots of utilities to help your Windows install come back to life. I have used it many times to correct a no boot situation just by running a chkdsk on the boot and/or main partitions of the hard drive.
4. AVG Rescue CD. For when you are seriously infested.
And of course, don't forget to add your own utilities to the USB drive to use from within Windows.