Well, there's the solution of putting a USB flash drive inside the server's case (optionally securing it with duct tape). In fact, a USB flash drive is the recommend medium for booting FreeNAS.
I've seen recent servers also ship with an SD or MicroSD slot on the motherboard too. Probably a bit more secure than a USB stick that can come unplugged easily.
SmartOS is often booted from a USB flash drive too.