Western Digital "Passport" drives (http://www.wdc.com/en/products/external/portable/) are not much larger than a smart-phone. They plug into the USB port of your computer and hold a Tera-byte (1000 Gigabytes, or a Million Megabytes) for around $100.

Buy the USB 3.0 version. It is backwards compatible with older computers and transfer speeds on the latest computers with USB 3.0 will be substantially faster.

If you are a Linux user, it is easy to format and encrypt with a nice long passphrase. You will worry less if you lose the drive, or when the time comes to dispose of it.

For cross-platform encryption in both Linux and Windows, take a look at truecrypt. (http://www.truecrypt.org/)