Even if you don't share your USB drive with other people, encryption ensures that nobody else can access your data in case the drive gets lost or stolen. As the owner of the drive, you can decrypt the drive if you have the recovery key or enter the correct password.
Bitlocker To Go
Windows 8 Pro and Enterprise extends Microsoft's proprietary Bitlocker Drive Encryption support to external USB drives, so you can encrypt right from the drive's right-click menu. Called Bitlocker To Go, this feature can either encrypt the entire drive or just all the current files within the drive.
Onboard Flash Drive Solutions
Some flash drives like the SanDisk flash drives and Imation Nano drives come with free software that you can optionally run to encrypt the drive. These solutions do not officially support other flash drives manufactured by competing brands.
Some commercial products like Symantec Full Disk Encryption feature enterprise-class encryption for protecting more sensitive data. TrueCrypt is one of the free alternatives that can encrypt any USB drive and works in Windows XP and newer versions as well as Mac OS X and Linux.