If your operating system is Windows individual folder/file encryption is built into partitions formatted with NTFS (but not those formatted with FAT32). Right-click any folder/file in Explorer and select Properties, then on the "General" tab click the "Advanced..." button. At that point you have the option to "Encrypt contents to secure data".
verbatim has usb flash drives with built in software to password protect a certain folder on the drive, and you can also remove it and pop the whole thing in a safe if the data is that important.
Don't use Microsoft's encryption. Since their software isn't open source, there's no way to independently verify the veracity of their implementation. Truecrypt is open source and programmers from around the world have examined the code. It's very hard to hide a back door or a bug when tens of thousands of experts look at it. The truly paranoid can build their own executable directly from the vetted source. Here's a rhetorical question for you: If the NSA wanted an encryption back door into 90% of the computers in the world, where would they go?
Absolutely agree with you, for high level security you need to go with an open-source program like TrueCrypt. But for quick 'n dirty encryption to protect files/folders from office workers or family members etc. the one built into NTFS formatted partitions works just fine. And if your partitions were originally setup with FAT32 there are a number of utilities (like Partition Magic) that will convert to NTFS. I'm not advocating the Windows security as top notch, since I don't trust Microsoft either, but for many real world situations that don't require the highest level of protection it's fast, easy, and does the trick.
You're probably right. I'm one of those "truly paranoid" people I mentioned before. I always operate under the assumption that any of my computers could be confiscated/lost/stolen during travel or stolen right out of my house.