I can recommend
TrueCrypt. Free, open-source, and reliable.
The truecrypt application can be stuck into a folder on the key itself and run from there on a windows box, it doesn't need to be installed to work.
Then you can have a nice big encrypted volume on the stick that you can mount and use like an extra drive on windows (edit: if the stick is formtted as FAT32, you can only have a maximum size of 4GB)
If anyone pinches the stick, then they only have a big file of apparently random bytes.
I'd be wary of built-in software/hardware solutions, some of them have been shown to be a little less than secure.
Just don't write the password/passphrase on the outside of the stick and then you can be like MI6 and leave your senstive data on buses everywhere without a care!