I recommend TrueCrypt.
TrueCrypt is free, open-source disk encryption software for Windows 7/Vista/XP, Mac OS X, and Linux.
It:
Creates a virtual encrypted disk within a file and mounts it as a real disk and can encrypt an entire partition or storage device such as USB flash drive or hard drive. Encryption is automatic, real-time (on-the-fly), and transparent. It uses parallelization and pipelining to allow data to be read and written as fast as if the drive was not encrypted.