I'm not aware of one which specifically meets these requirements, however I have experimented with PCLinux OS bootable CDs where you can extensively customize the system after starting it up (installing direct from the internet with easy to use tools) - I'm not sure if it directly supports saving the resulting image, but if you were to run it within vmware then snapshotting the system is a no-brainer.
If you wanted to create your own image (e'g' if you needed to redistribute a natively bootable image) then I'd suggest you have a look at puppy linux - which is very easy to customize.
C.
