Portable encrypted USB stick I would like to have an encrypted USB stick that I can use with Windows and OS X.

I could format it as FAT32 and then have a encrypted image files (more than one due to the file size limitation of 4GB) that I could mount on both, and have the software to do it on the stick itself.

Any suggestion on the best format?
Buy a USB flash drive that uses hardware encryption, where the unlock mechanism doesn't depend a software client, then format it however you prefer. An example of this would be a USB flash drive with a a biometric sensor which can scan a finger, or a built-in keypad where you can enter a PIN to unlock the drive. Several vendors sell hardware encrypted flash drives like these, including Apricorn and Imation.