USB drives are pretty cool. You can take all that data and stick it in your pocket and walk away. That's handy if it's your drive and your data. That's not so handy if it's in somebody else's pocket.
Rohos Mini Drive is a tool that creates a hidden, encrypted partition on your thumb drive. The partition is totally hidden until you enter the correct password. You don't need to be an admin for the machine, you just need to know the password to open, read, and write from this hidden volume. As far as Windows is concerned, it's a real drive, but once you log out, it goes away and doesn't give any indication that there's more data on the drive than meets the eye. Now if the unthinkable happens and somebody walks off with your data—or you just drop it, leave it plugged into the machine, or any of a hundred other nasty scenarios—all is not lost, and you don't have to go join the Foreign Legion.
Rohos Mini Drive is a free Windows application. To use it, you'll (obviously) also need a USB drive.