Uncommon Goods has an interesting chess-set for sale here. It doesn't include a board, but you can draw your own, using one of the white Bishops perhaps...
Honestly, I can't see parting with $20 for a set this disposable. Also, can you imagine what your chess bag would look like after a few days? ;-)
On the other hand, it might be fun chipping one of my opponent's Bishops down to a pawn when he isn't looking. According to the site, the set is especially meant to appeal to kids, which makes sense.
When it comes to my own kid, I think this set just might be under the tree this year:
Heck, it's only $10 more than the chalk one and every bit as outdoor-friendly.