The safest way to protect all your data is to store it on an encrypted file system, use a long, non-dicitionary password, and to shutdown, (not hibernate/suspend), and keep the computer by you for 1/2 hour so that the RAM is completely cleared, just to make sure that the FBI cant read it and recover the cryptographic keys :D
I avoid encrypted file systems because I dont know how to retrieve data from them if the OS is damaged, and I dont want to risk loosing all my data because of a mistake.
If you dont have too much info to protect you can use password protected zip files.
If you want to protect your profile, you can try this
http://docs.info.apple.com/article.html?path=Mac/10.4/en/mh1906.html
Normally, when you change the password using a boot cd, then all encrypted data becomes inaccessible.
You may want to try this in a virtual machine first, or try with a test folder, change the password using the boot cd, and see if you can still access it, and if there is a way to retrieve it. Encryption also has a cost on disk performance.
Other readings...
http://en.wikipedia.org/wiki/FileVault
http://josh.tumaz.com/content/view/17/46/
http://www.chuckknowsbest.com/ikrypt/