USB sticks are pretty much ubiquitous, and there have been many examples of people losing them and releasing sensitive data. USB Flash Security creates a password protected USB drive that will help keep you data safe.
USB Flash Security is a Japanese developed product, and it suffers from weird translations in places which is unnerving! However, USB Flash Security is not that hard to use once you've untangled the instructions. It is installed on your PC, and when you run it you can protect whichever attached drive you wish. Once protected, wherever you use the USB stick, you'll have to use a password to get in.
It's very effective, but does have some annoying side effects. First is that installation wipes your disk, meaning you have to back it up first. The second is that the security program only runs on PCs - so if you have it installed you won't be able to access that data on other operating systems.
USB Flash Security also requires administrative rights to run, which can mean some annoying user changes every time you want to open it.
USB Flash Security is probably more complicated than need be, but it will make your data safe from casual theft.