I define the degree of a permutation representation of a group (or group acting on a set) as the number of letters in that representation, and the minimal degree of a group $G$ to be the minimum number of letters that the group can act on; i.e., $G$ injects into $S_n$ but not into $S_{n-1}$.
I define a group $G$ to be Cayley if its minimal degree is the same as the order of the group, so that the Cayley representation is an example of this minimal degree.
So which groups are Cayley?
So far I have found that cyclic groups of prime power order are Cayley, and the Klein 4-group is Cayley. The quaternion group $Q_8$ is Cayley because it has too many elements of order $4$ (six) to be injected into $S_7$, which has only four order-$4$ elements.
The direct product of a group $G$ of order $>2$ and a group $H$ of order $>1$ is not Cayley.
I wonder if there are any other Cayley groups. In particular I wonder if the generalized quaternion group $Q_{16}$ is Cayley.
To make sure this does not go unanswered (but I'm making it community wiki):
As Derek Holt points out, a similar question was asked in math.overflow; that question asked more generally what is the minimal degree of a group.
An answer by Jack Schmidt there cites the paper:
The paper is available on JSTOR (second link above). Theorem 1 states:
So this says that your question about $Q_{16}$ has a positive answer, and that the ones you found are essentially (except for larger generalized quaternion groups) all the examples of what you've called Cayley groups.