OS X can boot and work on Intel Mac (Not Power PC Mac) from FireWire disk. AFAIK Windows XP is not designed to be booted from USB (don't know about FireWire disks though) but it can be done too. Linux can handle this perfectly too.
BUT... I'm not 100% sure that bootcamp supports external drives (esp FireWire) for Windows/Linux installation. Usually for such tasks a
rEFIt is used (a boot menu for Mac; BE SURE TO READ the Myths and Fact SECTION FOR BETTER UNDERSTANDING). rEFIt should allow you to do this (like in
this USB guide). Probably you can use the above guide to install Linux too.
Note that OS X and Windows (XP at least) use different disk partition styles. OS X uses GPT (it will be need to install OSX, but OS X may boot from MBR disk too (so you can clone OS X to MBR disk from GPT disk)), while XP uses MBR. Bootcamp takes care of that issue. Since Bootcamp only works with internal drives, it will not be able to handle this on external drive, however there are tools to do this manually (via gptsync provided in rEFIt).
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Yes, but its not that easy.
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Which bootloader should I use? Will I need more than one?
rEFIt plus GRUB to boot linux (read select Linux from rFEIt menu, then GRUB starts Linux). Windows should boot as is.
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In what order do I load everything?
rEFIt menu > OS of your choice (GRUB to boot Linux).
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Will Ubuntu work properly or is there a better distro for my hardware?
Ubuntu should be (then it works it works) fine however I've always had problems with it to load it from Live CD, if an USB device is connected (may be its just my carma

). Its more a matter of taste (I've used to have Suse Linux installed for some time).
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If you need that many partitions (OS X+Windows XP+New Windows+Linux+Data partition(s)), note that:
MBR disk can have up to 4 primary partitions (plus logical partitions) and Windows can be installed to primary partition only.
GPT is much more flexible in this respect.