Label your media!
Those of you who work with sensitive data, and your facility allows removable media such as thumb drives, you might want to look into these units. At Ease, has a selection of appropriately colored USB thumb drives that are labelled properly for the data that is contained within. It makes a user think twice before leaving a secure space with sensitive info. While this doesn't afford you an specialized data encryption, but it does lead to a higher aweness for the user.