TrueCrypt
What it is
TrueCrypt is an encryption program that can be used for ensuring privacy of files on your computer. You can encrypt portions of your hard drive (containers) or the entire drive itself.
What this means to you is if your computer falls into the wrong hands that person cannot view your encrypted files. They would have to either know the encryption password or have the decryption key. If they were to plug the hard drive into another computer to view the information they would only view garbled information. Think of it as writing a letter in secret code and only you have the decoder ring.
basic usage
Check out the Beginner's Tutorial or System Encryption sections to get up and running.