I’ve recently installed EXSi 4.0 on my home server. I’ve choosed to install it on a regular USB pendrive.
You don’t have to do the unpack and DD trick anymore as the ESXi 4.0 version now support installation to a connected USB pendrive.
The installation of ESXi 4 is really simple and straightforward so I didn’t do any screencaptures of the installation.
As you can see in this fuzzy picture, I’ve used a pendrive mounted to a internal connector on the motherboard.
It all works really well.