Personally I use Bestcrypt on Linux. It's free for Linux but non-free for Windows. Similar to Truecrypt. Current Linux distros have an encrypted filesystem built-in, as does I believe Windows 7. On Linux, as I recall, you must give the disk password at boot time which is not always convenient. With bcrypt, you create an encrypted container file or disk partition and then mount it when you need it, at which point you must give the password. You normally create a filesystem of your choice (VFAT, ext3, NTFS etc.) inside the container, so that any files written to folders in that container are automatically encrypted. When you are done, you unmount the container and it then requires the password to re-access. So while mounted, the files are still freely available to view, edit etc.
If you encrypt the entire filesystem including the operating system, then all the files are perforce available to anyone all the time the sytem is running. With laptops, the filesystem may not be unmounted when the laptop is suspended, so there's a risk of the running system being stolen.
However, with a container system, data can leak out of the encrypted folders. For instance, an application may cache data in temporary files, and the operating system may write memory out to swapspace on an unencrypted drive. Applications may also be written insecurely - not zero data when memory is deallocated, for instance, so that subsequent programs running on the computer can read it. Doing this all securely is hard. Having a user's home directory that is totally encrypted is one way, so that the user always logs out when the machine is unattended, and things like browser cache and temporary filea are placed on the encrypted volume.
If you create files outside of the encrypted container, then move them in, the data is generally not erased and can be recovered with data recovery programs. It is better to create them inside, or else to copy them, then erase the original with a data shredder application.
Compress files before encryption, not after.
Bear in mind that the password is unrecoverable, so write it down somewhere safe (like a real safe).
I haven't looked at commercial PGP for ages, but GnuPG (compatible) only really works for single files or archives, though it will do multiple passwords (several people can have access, without knowing each others passwords), and I have made a secure repository (password bvault) on that basis.