Mac: There are lots of ways to hide your files, but Skedaddle offers one that's both useful and fun. It creates a secret drawer in your desktop that opens with a keyboard shortcut and a password.The app is kind enough to walk you through the entire setup process and help you test the preferences you choose. Once you're all set, you'll have a little hiding space for your folders and files. You can customise the size of that space as well as how items within it are displayed.
While Skedaddle won't encrypt the data it stores, it does a great job at keeping things hidden that you don't want people to see. If you're mainly looking to protect your privacy when others are using your computer, it's a good app to have.
Skedaddle ($0.99) [Mac App Store]