How to encrypt external devices using a cross-platform solution?

You could also consider installing Truecrypt on your USB. Once installed, use TrueCrypt to create an encrypted container, which can be opened with the software on the key. Saves you time installing software on multiple computers, still leaving you with the encryption you wanted.

I would use encfs which is available for linux, osx and windows. Advantage is that you can also use it with cloud storage since encfs encrypts on filesystem level and therefore the changes only affect the files changed not a partition as a whole.

Edit, additional info

On Linux it's as easy as

encfs ~/Dropbox/encrypted ~/Private

I presume it's similar on windows but I have only tested it between OSX and Linux so far. You can find a little more info here

On Linux Gonme Encfs Manager is a pretty handy GUI tool to manage encfs encrypted directories, store passwords in keyring, etc.

Truecrypt is probably your best choice, though you'll need to be able to install the software on any computer you want to use.