You can use Truecrypt full (system) disk encryption on Windows partitions, and the built-in LUKS encryption on Linux partitions, both of which work well.

For USB sticks, data written to external hard drives, etc, I use some combination of TrueCrypt, KeePass, 7-zip AES encryption, or dedicated devices. For dedicated devices, I tend to prefer FIPS 140-2 validated devices - having someone other than the vendor validate that at least some flaws are not present is better than just taking a vendor's word for it.

Validated 140-1 and 140-2 cryptographic modules

4GB, 8GB, 16GB, and 32GB USB flash drives with built-in keypads:

http://www.apricorn.com//products/hardware-encrypted-drives/aegis-secure-key.html

FIPS validation #1876, validated to level 3.

500GB and 1TB USB2.0 external hard drives with built-in keypads:

http://www.datalocker.com/products/data-locker-enterprise-20.html

FIPS validation #1504, validated to level 1.