As said above, for normal people and normal data, creating disk image with encrypption is easiest. Advantage - you can copy that image (=file) as needed to other media, backup etc. Disadvantage, you have to mount it manually. Other alternatives are to format the disk as encrypted (either in disk tools or right click on the drive and select encrypt option). Advantage - mounts automatically and is transparent to use if your keychain has the password.
None of these will protect you against government agency but against most others, sure. And then you can buy special USB disks which are encrypted with their own "smarts" and require password to mount the data part. These are expensive and you can buy some which may be real challenge for anyone. These are used by government agencies to protect their data. These are the ones most secure but are major overkill for most of regular humans.