Windows only: USB Safeguard is a portable program that encrypts files on your flash drive in case you lose it. It also stores your email or phone number or shreds files in case you lose it.
To get started, download the program and drag it to your flash drive. Launch it from there, and USB Safeguard will prompt you to create a password. Once you do, you can choose to encrypt your entire USB drive or specific files up to 2GB in size — which you can drag and drop into the interface. The app also features several options for what to do with your data if someone tries to access your files unsuccessfully. These actions include leaving the files alone, shredding the data, and more.
The app also has a virtual keyboard available for a little extra security when you're using an untrusted machine. You can also set an email or phone number using the app in case you lose your USB stick, unlike TrueCrypt and WinPT, which don't have those options.
USB Safeguard is freeware for Windows only.