I've done it on my laptop (I have an SSD, so I don't have room for a proper dual boot). It is simple to install - just have the drive plugged in when you start Anaconda and it should be detected just like any other hard drive.
In order to boot from the drive, you'll need to enter your system bios on boot and change the boot order so that USB hard drives are above internal hard drives. my preferred boot order is CD, USB Flash Drive, USB Hard Drive, Internal Hard Drive, as this lets you run install and system recovery CDs in the future.
Although I have noticed it to be quite a bit slower than my internal drive, installing on an external drive is a nice alternative as if you decide you don't want to boot into linux, you just have to unplug the drive (this can be nice if you like to tinker with alpha/rawhide releases, but also need your windows partition to get stuff done when those are less than stable or aren't booting).