For the last several years I've used Microsoft's built-in EFS encryption system for the data directory on my Windows laptop, making it less likely that someone could access my data if I lost my laptop or if someone stole it.
A problem with EFS is that it works behind the scenes: unless you take special steps to save a couple of files that are needed for decryption purposes (away from the device that is encrypted), there is always the nasty and real possibility that you could lose access to all your data. [I know this from a friend who learned it the hard way.]
Last week, on the recommendation of someone I trust, I finally got round to stopping using EFS, switching instead to an Open Source product called TrueCrypt, which is available for Windows 7/Vista/XP, Mac OS X, and Linux. It took me less than five minutes get TrueCrypt installed and running, and less than an hour to use it to encrypt a new data directory and to move my data across.
TrueCrypt's user documentation is exemplary, and TrueCrypt works sufficiently "in the foreground" for you to know that it is there. You can also use it quickly and easily to encrypt removable media like USB sticks or drives. I have also had no trouble getting Carbonite (the remote back-up service that I use) to back the data up from the TrueCrypt encrypted drive. Unlike with EFS, the data once backed up is only encrypted by Carbonite's system, rather than retaining the local encryption as well. That means that when I restore a file from Carbonite it is unencrypted, unless I restore it to an encrypted drive. This was not the case with EFS encrypted files.
I should emphasise here that I am a self-taught amateur on matters such as this. Caveat reader, therefore.