You might want to try sysresccd (http://www.sysresccd.org/) as knoppix by default does not contain e.g. memtest, though with the cheat codes you can run a memtest anyway :).
Hm, that Linux SystemRescueCd does look useful for recovery, but it
doesn't seem to contain tools intended for burning in a new system.
I figure someone must have done this already, so I'd really
rather not get into building my own custom version of one of these
bootable CD distributions.