I can't believe I haven't mentioned this Open Source application for Windows and Linux (and maybe Mac OS X someday).

TrueCrypt

TrueCrypt is the most flexible and secure way I know of to encrypt pretty much anything in Linux or Windows. It supports multiple encryption techniques (AES-256, Blowfish (448-bit key), CAST5, Serpent, Triple DES, and Twofish) and can encrypt to hard drives, flash drives, external drives, optical discs and pretty much anything that supports a file system.

For more details about TrueCrypt, head over to Steve Gibson's Security Now podcast site and download (or read the transcript) for episode 41.