You've seen the fancy, expensive drives that feature encryption, ie Ironkey, but what if you don't want to spend exorbitant amounts of money to have some encrypted space on your drive?  TrueCrypt is the answer.  Truecrypt allows you several options for encrypting a volume or part of a volume and choose from several encryption options. 

The flexibility is really nice, you have the option to choose from several encryption types such as AES, Serpent, and Twofish and combinations of the three. You can encrypt the whole drive, a file within the drive, or even implement multiple layers of encryption to create a hidden volume.  The GUI interface is intuitive and simple to use and allows you to manage many volumes at once.

This would be an excellent solution for people who carry sensitive data for work but don't want to shell out the big bucks for specialized drives.  The only thing to think about is that if you intend on using TrueCrypt to encrypt your entire drive, you'll have to have TrueCrypt on any computer where you may need to access that data (or on another thumbdrive you carry with you).  If you're using the Windows version of TrueCrypt you can run the Traveler Disk Setup from the Tools menu which installs TrueCrypt to the root of the thumbdrive so you can access that encrypted partition (file) from any computer without having to install TC to that pc.  Unfortunately, this isn't available in the Linux version.

TrueCrypt is an excellent solution for encrypting sensitive data.  It works on Windows, Linux, and OSX so you can access your data anywhere and it uses the highest encryption level available to civilians, which is also good enough to encrypt documents labeled Top Secret by the US Government.  By the way, the Corsair Flash Voyager USB drive comes with TrueCrypt ready for you to encrypt your data.  Not sure if any other drives come with TC, but there are a variety of drives that come with other solutions.  If you have any preferences, let us know!