It depends on what you want to do. Do you want full-disk encryption or just one encrypted partition/file? Personally I use full-disk encryption. From what I've read its recommended to encrypt the whole system and not just a partition if you don't want important data leaking into the non-encrypted parts of your system.

On Ubuntu Server I selected full LVM encryption during installation. Everything except the /boot is encrypted, which works great without too much overhead even on this aging 1,3 Ghz machine. I heard good things about TrueCrypt as well, which should work with OS X and Windows but I haven't used it myself.

Btw I did use Filevault on OS X for my whole disk and the experience was less than pleasant. Especially with resume and hibernation. This was with 10.3 (Panther), so it might be better now.