You might look into truecrypt. There's a program that you run under linux or windows, the allows you to mount a truecrypt partition. And it's opensource too!
For example, if you have a 1GB stick, create a 800mb truecrypt "file" on it, and load the software packages on the remaining space. (They're quite small, you'll still have room for other, non-private stuff) When you want to use the truecrypt partition, mount it with the appropriate program. You can read and write it just like any other drive partition. When you're done, un-mount it. All that will show on the drive is a 800mb file, that looks like garbage if you try to open it.
There are a lot of security options with truecrypt, depending on how secure you really need your data to be. I use it personally to carry data to and from home to work. I don't keep the software on the stick, as it's between the same two or three computers, but it does work that way too.