Considering more and more users prefer to carry their most valuable and/or private data on their Flash drives, encrypting the data is a good idea.
There are numerous encryption tools which specialize in securing data from removable devices by applying strong encryption algorithms.
Some of these tools might simply apply a password to the most sensitive folders, whereas others might require a password even for accessing the Flash drive.
There are also some applications that can encrypt the USB file at various level, i.e. they require several password, otherwise the data is left read-only.