Use Truecrypt to protect your confidential data. It is secure, easy to use, open source, and free! First create a virtual encrypted disk, mount it, and then simply put your files in it as you would any regular directory.
However, to be even safer, copy the sensitive data to the TrueCrypt folder and then secure delete the original file. In Windows, use Eraser to securely move the file. Eraser is also easy to use, open source, and free!
In Linux, use wipe. Under Debian and Ubuntu, just 'aptitude install wipe' to begin having fun!
If you require the destruction of all hard disk data beyond forensic recovery then the best solution is to run the drive's internal secure erase command. This can only be accomplished on ATA/IDE drives with the free Disk Drive Secure Erase program or on any type of drive with EDT's Digital Shredder.
All other software overwrite programs take 8x as long and can not erase reassigned user blocks. If this acceptable then I recommend the free and open source DBAN program. Get DBAN and many essential utilities on the Ultimate Boot CD, a freely downloadable boot CD.