DamnSmallLinux 3.2 RC, repackaged for 3-way use
1) Bootable, as usual
2) Embedded; put the CD in under Windows and it will run DSL 'virtual' as per the screenshot
3) Screensaver. Install it in the usual way for Windows apps and select it in the usual way for screensavers. Ctrl-Alt-F and click the X to exit the screensaver.
This uses 'Inno Setup' for packaging; a small mod to 'qemu' to run as screensaver; and a small mod to the 'linuxrc' to boot the second-level '.iso'. You will find source for all the mods on the CD if you look; by all means redistribute and improve.