TrueCrypt is a free open-source disk encryption software for Windows 7/Vista/XP, Mac OS X, and Linux. With TrueCrypt you can create virtual encrypted drives, encrypt entire partitions and removable devices or entire hard drives. Watch this tutorial by Thirdfoundation for Windows or the MAC Version by Obrien1979
UPDATE (Oct 14): The development of Truecrypt has been discontinued by its creator but a team of developers has taken up the task of carrying on its legacy through TCnext (TrueCrypt next). For more information please read “About TCnext“.
These videos below are based on an older version of TrueCrypt, but after installation you will see that it looks all the same. For the most up-to-date version go to https://truecrypt.ch/downloads/