You could also consider installing Truecrypt on your USB. Once installed, use TrueCrypt to create an encrypted container, which can be opened with the software on the key. Saves you time installing software on multiple computers, still leaving you with the encryption you wanted.
Update since 2014, from TrueCrypt site:
WARNING: Using TrueCrypt is not secure as it may contain unfixed security issues
This page exists only to help migrate existing data encrypted by TrueCrypt.
The development of TrueCrypt was ended in 5/2014 after Microsoft terminated support of Windows XP.
Linux platform only
You can use the disk utility that comes installed with Ubuntu by default.
Install the cryptsetup package: sudo apt-get install cryptsetup
If the gnome-disk-utility package is not installed: sudo apt-get install gnome-disk-utility
Some things to have in mind prior:
- Any data that is on the partition will get erased
- This is NOT suitable for a partition that is running your current OS
- Again, back up everything and be sure to format the correct drive!
Creating a new encrypted partition:
Start the Disk Utility:
- Make sure you identify the proper drive in the left hand panel.
- If needed, create empty space on the disk by resizing/deleting partitions.
- In the
Volumes graphic overview, click the appropriate empty block.
- Click Create partition to create the partition to be encrypted.
- Check Encrypt underlying device.
They will then prompt you for a password. Chose a decent password - your encryption will only be as strong as your password. It is probably also safer not to store the password, choose the option Forget password immediately.
Encrypting an existing partition
- Select the partition that you want to get encrypted
- Make sure that it is not mounted by pressing on the "stop" button
- Click the "gear" icon under the partition and choose Format...
- Select the type Encrypted, compatible with Linux systems (LUKS + Ext4)
- Enter a name to distinguish the partition
Enter your passphrase to encrypt it and confirm it
For higher security, if you have have any existing data in this partition, select the erase option. You can overwrite existing data with zeroes, but this could take several hours depending on the disk.
Format it and wait until it finish in a couple of minutes!
Using your encrypted partition
Once your partition is formatted, it will be encrypted.
In fact, you have two partitions, a container partition and the encrypted partition.
Disk Utility will show them above each other when the volume is unlocked.
From the Disk Utility, you can lock and unlock the volume by selecting the partition with the little lock and clicking Lock Volume or Unlock Volume.
Make sure that you leave it closed/locked before unmounting the system, otherwise you will get an error. Also, with two partitions, you will have to unmount both before being able to safely remove the drive.
In the Disk Utility, there also is a button Change passphrase, which works much faster than the initial formatting.
From Nautilus, you can mount and unmount the encrypted volume almost like a normal external USB drive or memory stick, except that you will be prompted for the password.
Source: https://help.ubuntu.com/community/EncryptedFilesystemsOnRemovableStorage
Best Answer
You can access TrueCrypt volumes on all three major OS. This is a disk encryption tool rather than a file encryption tool, so the choice of file system inside the disk image is important if you want to be able to mount the file system inside - chose a file system that works on all platforms you intend to use. FAT32 is probably the safest choice.
Note that in order to install the TrueCrypt driver on Windows, you will need to be an Administrator user, or gain the cooperation of one, for every workstation you wish to access a TrueCrypt volume on. In addition, any process with access to the mounted file system will be able to read your files in the clear, so you must trust all systems on which you mount your encrypted volume.
If you can't use TrueCrypt, or don't like it's caveats, then you can encrypt individual files with GnuPG. Gpg4win provides easy to use Windows tools for GnuPG. While GnuPG will encrypt files at the simple "password" level, you may wish to read up a little on Public Key Cryptography.