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Also native to most new hard drives, is the ability to encrypt your data. Personally I don't go this route because it makes recovery of your data very difficult and next to impossible if you fort forgot your passwordpasswords.
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References
http://www.laptoptips.ca/security/hard-disk-password/ - talks about locking hard drives.
http://www.rockbox.org/lock.html - it is possible to unlock the drives...