The usual method is actually to use Compact Flash; adapters are available to use Compact Flash drives as regular ATA devices, and are fairly cheap since Compact Flash uses a communication protocol very much like ATA.
The above cautions apply; flash media is not built for frequent rewrite operations, and will not last long with something like Windows' page file on it. The people that do these kinds of things generally use Linux (something that doesn't take up much space, like Damn Small Linux), which perhaps says as much about the sort of people that would go to the trouble as it does about the practical aspects of such an undertaking.