TrueCrypt is "a free open-source disk Encryption software for Windows Vista/XP/2000 and Linux." The main features are as follows:
1. Creates a virtual encrypted disk within a file and mounts it as a real disk.
2. Encrypts an entire hard disk partition or a storage device such as USB flash drive.
3. Encryption is automatic, real-time (on-the-fly) and transparent.
4. Provides two levels of plausible deniability, in case an adversary forces you to reveal the password.
5. Encryption algorithms AES-256, Serpent and Twofish support.
PolishLinux.org provides a more in-depth tutorial on how to use TrueCrypt. It also provides a comparison between TrueCrypt and DM-Crypt, another encryption engine.
So, if you are paranoid about your data's security, I recommend encrypting them. :)