OS X has long let you encrypt external drives, and even your Mac HD. Mountain Lion has actually made it even easier to encrypt external disks with just a few clicks. It's sometimes a good idea to do so on items such as backup disks. This way, if they ever fall into the wrong hands, no one should be able to access your data without the password you have set to decrypt it.
If you aren't sure how to encrypt your data, follow along and we'll show you how.