With Mountain Lion, you can now use the OS to encrypt disks other than the startup volume, assuming they are in GUID format. This includes USB flash drives and external Firewire/USB/ThunderBolt drives.
In the Finder, open a new window. Find your mounted (GUID) drive in the sidebar.
Control-click on the drive in the sidebar, then choose “Encrypt <drive name>.” You are now prompted for your password and a hint (which is required). You will get no feedback, so wait for a few minutes; the time depends on the size of the drive.
The drive should unmount and mount again. Once this happens, your drive is encrypted.
If you choose your startup volume, this will enable FileVault II. Other drives do not enable FileVault II.
[kirkmc adds: I, for one, think this is pretty nifty. I know a lot of people who have two drives in an older laptop, where they replaced the optical drive with an SSD. Being able to encrypt the non-boot drive is …