it is difficult more (i am not even sure possible, as i have searched [albeit not rather intensely] to find a way to install windows 7 onto a flash USB drive) to run a USB drive loaded with anything other than linux, than it is to run a hard drive. the power savings will be rather minuscule, unless your only option for a hard disk is a large, fast, power hungry mofo.

as far as initial price goes, you can get sata/IDE drives on ebay for ~10$.

"but those drive are pulls from used workstations!"
-well, then use a new drive. or linux on a usb drive.

keep in mind, if you have a rather small amount of ram, and/or the operating system of choice is caching to HDD, USB drive will offer lackluster performance. this may or may not affect your mining depending on the use of the system.

also, if you consider running a CD drive loaded with your OS, do not forget that you must either a) re-setup your mining software/system settings on each reboot or b) run another disk drive (likely usb) to save such settings, so you may or may not be saving any electricity.