In cases where your computer is stolen or if you are worried about anyone you know accessing certain folders and files on your computer, you might want to protect them behind strong encryption.
Truecrypt lets you create an encrypted file container that works like a folder, but looks as if it were a file full of random data. To use the encrypted container, you select it in Truecrypt, enter your password (which should be a very strong one), and the program will "mount" the file as if it were a removable hard drive on your system.
While mounted, you can copy files and folder to and from your "drive" and organize them as if it were a second hard drive or thumb drive plugged into your computer. When you're done, you "dismount" the container and it returns to its strongly encrypted state while looking like a simple file full of random data.
It's easy to set up and use as the documentation is very straighforward and includes a step-by-step walkthrough with pictures.