I create a disk image using disk utility, encrypted and set it to require a password. You could simply change the permissions of an existing folder by using the information panel (apple + i) but this requires you to have more than one account on a computer. Depends on how your computers set up.
This works very well - but be sure to uncheck the "remember password" option or else anyone who's on your account can just open it up. You want to have to type the password each time.
And, btw, don't forget that password, because, if you do, the files are gone. Period.