From an article at
http://lifehacker.com/5583307/top-10-usb-thumb-drive-tricks-2010-edition

Encryption,

Generally, a 'self-destruct' mechanism only gives you a sense of false security. If somebody really wanted your data, they could just as easily copy the entire (encrypted) contents of the drive to somewhere else and work from there.

This is what I do under Linux with flash drives: I have a 16GB drive, so I set up a 12GB and a 4GB partition. The 12GB is unencrypted FAT, so it can be used for quick data syncs, etc. with Windows/Mac/Linux.

I encrypted the 4GB partition with LUKS/dm-crypt (Serpent-XTS).

Now when I plug it in to my Linux machine, the 12GB FAT partition is auto-mounted and I'm prompted for the 4GB partition's LUKS passphrase (which I can ignore and not mount if I like).