Popular free encryption software, interoperable with the commercial product PGP. Available for GNU/Linux, Windows, Mac OS.
http://www.gnupg.org/ Nice manual explaining concepts
Plugin for Mozilla Thunderbird and Communicator that uses GPG to encrypt and sign e-mails. This is what I use (I'm sure there's a plugin for Eudora, too). What's nice is that once installed, you can configure it to encrypt every message by default, if possible.
http://enigmail.mozdev.org/
Free (as in beer) encryption software.
http://www.pgp.com/
MySpace for geeks! (Note: The data this server depends on is outdated, as of Nov 1st, 2006. To be sure, double-check links of trust directly with the keyservers. See also Henk's answer in the FAQ.)
http://www.cs.uu.nl/people/henkp/henkp/pgp/
Can even plot trust paths!
http://www.lysator.liu.se/~jc/wotsap/
Community web site to organize mutual key signings.
http://www.biglumber.com/
The Psi instant messaging client interfaces with GnuPG so that you can use encrypt and digitally sign your chats (and file transfers, I think). There are other clients that use encryption as well, but I haven't tried them.
Free software that encrypts entire volumes (hard drives, USB sticks, ...). This is not the only tool doing this, and I haven't tried it yet. Available for Windows and GNU/Linux.
http://www.truecrypt.org/
Tons of other links can be found on Ron Rivest's page