Encrypted/password protected memory stick for Mac

Should work with any Memory stick and is available for OS X, WIndows and Linux:

http://www.truecrypt.org

 

You can create a read/write encrypted disk image, about the size of your memory stick. You'll have to supply a password. I would suggest not saving the password in Keychains.

In Disk Utility, click on New Image. Select the volume name, and size. Leave the format to Mac OS Extented (Journaled), and partition type to Single partition - Apple Partition Map.

Once you're done, copy the disk image to your USB key. Please note, if the disk image is bigger than 4 GB, you'll need to format the USB Key to HFS+. Fat32 does not support files bigger than 4 GB.