I have Linux Ubuntu running on an old Dell Latitude laptop i had kicking around, its running Duel boot with XP.
Its not to bad, its something different. Picks up my wireless PCIMA Card ok, and can surf the net, interesting comes with loads off apps you can download, and loads of Torrent programs!

- Nifty wireless scanning tools as well!
It also picks up USB drives really quickly much quicker than XP.
Theo, i can't remember if you said you MacMini was Intel? - Try Parallels Desktop for Mac, its a fast Virtual Machine for Macs, very good, runs XP and Linux very fast.
As for installing it to an external drive, there should be no problem. Any machine should do... you can order a free install of Linux Ubuntu from their website, make sure the external drive is on, and bootable. When you come to install it, just select that as the install drive.
You might want to partition the external drive, as you may not want the whole drive for Linux. Linux uses its own file system, so you might want to partition part of the external drive to NTFS or FAT32 so you can still use it under windows or mac.w
Linux however is not as stable as people think, so be prepared for it to crash!