Solutions
These solutions are all vetted by USIT's security people.
Light-weight Linux encryption: GnuPG
GnuPG is fast and easy.
Really fast HOWTO on how to protect one file:
gpg --symmetric <file.ext>
This will prompt you for a passphrase.
rm <file.ext>
Now you only have the encrypted file.
gpg <file.ext>.gpg
You'll be prompted for the passphrase. Now you have an unencrypted copy of the encrypted file.
Encryption of large datasets: TrueCrypt (Windows/Linux)
TrueCrypt is supported for Windows and all Linux distributions. Its most compelling feature is the possibility to make a virtual, encrypted disk which can be decrypted and mounted at will, across all platforms. We're happy to help you set this up if you have a need, or you can check out http://www.truecrypt.org/.
Other encryption needs on Windows
USIT have several tips on their security pages.