You can get a hard drive with hardware encryption, or use software-based encryption, such as PGP, or TrueCrypt.
A much simpler thing to do would be to set a hard disk password in the BIOS. This will not encrypt anything, but the hard drive will be inaccessible without the password. There are ways to circumvent the password by messing with the controller or with the drive physically, but this will deter anyone who is not actually after your data. The common thief looking for profit will just toss the hard drive away.
I think I will try the BIOS P/W. Thanks Dr.