Imation supply a locking program on some of their USB drives. As I recall, it creates a "hidden" partition on which sensitive data can be stored. To access this partition you need to enter your previously set password. A limited number of tries is permitted; once that is exceeded, it re-formats the partition anyway.
One useful aspect of this is that on the open partition one can store "red herring" data which could lead the finder to conclude that's all there is on the device and not to explore further even if they had a reasonable chance of success.
Google "Imation Lock" for further information.