It's not possible (at least not that I know) to specify Filevault's target dir. It will work by automatically working with your home folder by creating (if you are in Leopard or above) a Sparse Bundle (or a Sparse Disk Image if you are in Tiger). The reason for the change has to do with Time Machine (and to allow -to a certain extent- to backup a FileVaulted home).
However, you can pretty much "replicate" the functionality of FileVault for a specific folder(s) by using Disk Utility to create an encrypted sparsebundle image of the Folder in question. You'd have to mount this image every time you want to use it but the "effect" is similar.
You can create symbolic links to the files and add the image to the login items if you have an application that needs the data in its original location (which is pretty common). You will possibly have to add the image password to the "Keychain" for it to be automatically expanded.
It would be important to read about Time Machine's limitations too, since a FileVault home directory can only occur when you're logging in (or out). In order to make Time Machine to act as a regular, you need OS X Server edition as a target.
According to the wikipedia entry (which I should have quoted at the beginning since it has all this information, better written and more complete):
FileVault is limited to encrypting home directories only in versions of Mac OS X prior to 10.7, and only those directories in their entirety. FileVault can encrypt entire disks starting with Mac OS X version 10.7
(emphasis added by me)
It remains to be seen whether this is true or not, since we don't speculate about future versions, but keep that in mind.
As an alternative, there are "multiple" programs that will also help you keep a secure "vault" of things. I'm mentioning Exces because I got it from a Bundle a couple of years ago. I used it three times and it works; there might be free alternatives (as well as using the plain "Disk Utility").
Update: Added the link provided by Kyle, because it explains how to do it, but kept my answer because it's "longer" :)
Best Answer
OS X has supported full disk encryption since 10.7. See Apple's KB article about FileVault 2.