Free On the Fly Encryption for Windows
http://www.freeotfe.org/
You can install this on a USB drive in Windows (also works on Linux when mounted as a loopback device with the right decrypt code) to put all of your documents and keep them from getting in the wrong hands.
USB Drives are so small and have so much capacity, it would be a shame to lose the drive AND your data.
If you have an encrypted USB drive and you lose the drive, at least someone else won't gain access to you files.
Best Buy and other companies have USB Drives labeled as "U3" which allows for a very simple password protection, tho don't bet your life on it, tho it's good for 95% of uses. But those U3 USB drives are not accessable in Linux (I've tried)
-Jesse