If you're looking for a great alternative to expensive, bloated audio applications, check out Reaper. It's made from the guy who originally wrote Winamp. The licensing is very friendly and only costs $60 (discounted license). They're very responsive to user feedback and add features constantly (updates usually arrive every 2 weeks). I've used other tools in the past like Reason and Cubase, but ended up ditching them in favor of Reaper. Its built-in effects are quite good and it supports DX and VST plugin formats. Unfortunately it is only supported on Windows (32 and 64bit) and Mac OSX at the moment however

I tried various portable solutions before settling with MojoPac. MojoPac is the greatest thing since sliced bread! I installed all of my applications to a 2.5" and take it to work with me in my back pocket everyday. It uses many pieces of the host's core operating system but it maintains it's own registry and user profile settings making it efficient and lightweight. Another cool thing about Mojopac is that you can maintain 2 simultaneous desktop sessions (host + mojopac) and use the Windows-S combo to instantly toggle between the two. Check out Mojopac, it's well worth it!