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A USB flash drive would be an excellect choice, but I guess it's also more expensive than even multiple DVDs. (Or just revolutionize the marked by using a Blu-ray just as "The 7th Guest" revolutionized the market by using CD-ROMs :-P)

Personally I haven't been backing yet, please let us know when a decision has been made, or as soon as I can be sure a DRM free physical Linux version will be available!