I can completely recommend a FREEWARE program for Windows Vista/XP/2000/2003 and Linux called TrueCrypt.
If you wish, you can also strongly encrypt your data. That way, even if someone takes the drive you accidently left behind, they can't use other software to read the clusters directly (thus bypassing any password) They won't be able to interpret the data.
In general, the lower the security level the faster the performance. However, as I indicated, I see virtually no impact and I'm using a high-level of encryption.
(no adware either)
I've been using it for about half a year now without a single problem.
You can encrypt at either the entire drive, partition level, or file level, by doing a one-time set up "containers". The performance impact on my everyday system is negligible.
I'd try it out and learn how to get the most out of the features for a few days before finally settling on exactly how you want to implement the "containers". Each approach has its benefits or limitations. You can set it up so that part of the disk is encrypted and part of it isn't, so you could still easily share a portion of your disk with the others while the remainder remains completely protected.
You can even set it up so it automatically dismounts when you either log off, the screen saver activates, the system goes into power management mode, or if there has been no activity on the drive/file for X minutes ( X=user definable)
This is important, because that way, even if you forget to dismount it yourself and walk away while it is still connected, it likely will be protected from other users as long as one of those events has occurred before someone else starts using the computer.
edit to add:
If you want to be able to use your portable disk drive on any other system (as long as the OS supports it) then you can set something like this up. (substituting your drive for the "USB flash drive" below)
To use TrueCrypt as a portable application...
Create a TrueCrypt file container on the USB flash drive (for information on how to do so, see the chapter Beginner's Tutorial, in the TrueCrypt User Guide). If you leave enough space on the USB flash drive (choose an appropriate size for the TrueCrypt container), you will also be able to store TrueCrypt on the USB flash drive (along with the container – not in the container) and you will be able to run TrueCrypt from the USB flash drive (see also the chapter Traveller Mode in the TrueCrypt User Guide)
edit: I apologize for the multiple edits. My meds are really
affecting my thinking process today.