Question: Is it possible to encrypt a single directory (or a group of directories) on a Mac? I don't mind if I have to use third-party software.

Answer: 
It looks like you have edited your question so that it now refers to encrypted directories, not volumes. While you cannot encrypt directories directly, as far as I know, you can use [encrypted disk images](http://support.apple.com/kb/ht1578) to protect files on your hard drive without encrypting the entire drive.
For a third party solution I would recommend PGP whole disk encryption
<http://www.pgp.com/products/wholediskencryption/index.html>