If you're on gutsy: Install LTSP and debootstrap from hardy first.

* sudo apt-get install mythbuntu-diskless-server
alternatively: sudo apt-get install mythbuntu-diskless-server-standalone will also pull in a dhcp server

* sudo ltsp-build-client --mythbuntu --mythbuntu-copy-user-credentials --dist hardy
* cd /tmp && wget http://laga.ath.cx/diskless/mythbuntu-diskless-client_0.2-0ubuntu1_all.deb && sudo cp mythbuntu-diskless-client*.deb /opt/ltsp/i386

Let's go inside the chroot:
* chroot /opt/ltsp/i386/
* sudo dpkg -i mythbuntu-diskless-client*.deb
* sudo update-initramfs -k all -c
* exit

Back on the host system:
* sudo ltsp-update-kernels

Now set up your dhcpd (eg /etc/ltsp/dhcp*conf if you installed *-standalone)
or try to boot the kernel from a pen drive...