For me TrueCrypt (www.truecrypt.com) is a perfect way to protect data on flash memory or even hide files in a hidden partition. It provides strong encryption, is easy to use and works for both, PC/Notebooks and mobile devices such as USB sticks (Installed Mode vs. Traveller Mode).
There are also some useful application in the free PortableApps Suite e.g. antivirus, file eraser, password safe, backup tool.
If you're referring to data protection on a portable device such as a USB flash drive, you might want to check out TrueCrypt. It runs on Windows and Linux platforms and is completely free (open source, too!) It has on-the-fly encryption as well, so it's not too difficult to set up.
If you're really interested in owning a secure flash drive, check out the IronKey.
EDIT: Wow. I completely missed your reply, Oscar. Sorry for being repetitive.