Fedora Core 3 automagically mounted the drive on boot
 /dev/sda1 on /media/LEXAR_MEDIA type vfat (rw,nosuid,nodev,sync,noatime,iocharset=utf8)

That a good start.  It came with a movie trailer for "BE COOL" already loaded.  Also on the device are Winblows, Mac, and Linux directories.  In the Linux directory there is a GUI setup tool for the hardware encryption which works and a loadable kernel module that doesn't.  :( When I checked out their website (http://www.lexar.com/support/lexar_support.html) they had no updates, no source code, no mention of Linux at all.  Bummer. 

So now I've got an unencrypted USB filesystem.  Not good.  Time to start from scratch.
Being the paranoid type, I don't trust their proprietary encryption system anyway.
You know, the one with the back door key of "letNSAin", so lets do the Linux version.

We need some tools- easy enough- yum will get them
yum install cryptsetup

To see what encryption options are available to the kernel type
cat /proc/crypto

There is nothing good there by default so lets install blowfish.
insmod /lib/modules/2.6.10-1.770_FC3smp/kernel/crypto/blowfish.ko
(use kernel path dujour)

now a cat /proc/crypto shows that blowfish is available.

Don't forget to umount /media/LEXAR_MEDIA (or whatever your device is if you're using something else.  Use dmesg | less to look for your device name or just mount if its already mounted.)

Here's where the real-magic(tm) happens.  Setup the encrypted device with
cryptsetup -c blowfish -s48 -b1014784 create cryptvol /dev/sda

where -s is keysize (cat /proc/crypto for options)
-b is number of sectors (get with  blockdev --getsize /dev/sda)
cryptvol is the name of the volume to create
and finally the actual device is the last item on the command line

It will prompt you for a pass phrase, if you're going to all this trouble- pick a good one.  That's it.  You know have a blowfish encrypted device.  But what to do with it?  First:

Lets create a filesystem on the encrypted device.
mkfs /dev/mapper/cryptvol

Now we're all done except for:

mount /dev/mapper/cryptvol /mnt

Looking at the device with
df -h
shows
/dev/mapper/cryptvol  480M  2.3M  453M   1% /mnt
(of the 512MB advertised space)

I did a test copy of 271M of various files in a subdirectory to the encrypted device and as a comparison to another directory on my HD. My system was rather busy doing other things at the time.

First the encrypted drive
time cp -ar /root/monta /mnt
real    1m16.873s

Now the HD
time cp -ar /root/monta /tmp
real    1m26.636s

The encrypted filesystem was faster in this test- but remember that copying
from the HD back to the HD is twice the load on it.  While it appears that
the encrypted filesystem is slower than than the HD it is plenty fast and
if feels responsive to work with.