Truecrypt is great for exactly this sort of thing. You can encrypt the partition in either Windows or Linux and use it under both systems. I've been using Truecrypt for years for exactly that purpose.
Truecrypt can be made to automatically mount an encrypted partition when you log into Windows. It does not integrate that well into Linux. I always use the root account in Linux to mount a Truecrypt partition.
Last edited by stress_junkie; 03-16-2011 at 12:43 PM.