Truecrypt is really a good way to encrypt a thumb drive or USB hard drive. You just need to know a couple of things...
If you are going to carry this drive between computers and can't guarantee that the computer you will be connecting to has TrueCrypt installed on it, then you'll probalby want to put the TrueCrypt program on the drive with it's driver installation feature. What you will wind up with is an external drive that will take up TWO drive slots on the PC you are connecting to. One for the TrueCrypt software and one for the NTFS (hopefully) partition.
If TrueCrypt will be installed on all the PCs that you will be connecting to, then you can format the entire USB drive as a TrueCrypt volume and have the software auto-detect and auto-install the device when you plug it in.
It's not a simple program to install and understand, but if you take a little time to experiment, you'll come up with a setup that will serve you quite well.
I'm not a TrueCrypt god, just a basic user.