How to encrypt an USB stick?

When storing personal data on a USB stick, data needs to be encrypted to ensure privacy. Regrettably, this is far from easy to do without introducing a lot of overhead; ideally, the whole encryption process should done automatically. Does anyone know of a convenient way to encrypt the data on a USB drive?

Update: I am using Windows Vista, although I would prefer a cross-platform solution.

try truecrypt it suits usb sticks really well. you can encrypt the whole drive or just certain folders. and it's cross platform

from their homepage:

Free open-source disk encryption software for Windows 7/Vista/XP, Mac OS X, and Linux

Main Features:

• Creates a virtual encrypted disk within a file and mounts it as a real disk.

• Encrypts an entire partition or storage device such as USB flash drive or hard drive.

• Encrypts a partition or drive where Windows is installed (pre-boot authentication).

• Encryption is automatic, real-time (on-the-fly) and transparent.

• Parallelization and pipelining allow data to be read and written as fast as if the drive was not encrypted.

• Provides plausible deniability, in case an adversary forces you to reveal the password:

  Hidden volume (steganography) and hidden operating system.

• Encryption algorithms: AES-256, Serpent, and Twofish. Mode of operation: XTS.

I use truecrypt

Creates a encryptred folder and then all you do is drag the files into the folder