Zip Utility with encryption option
Check out Keka - the free Max OS X file archiver



  With 7z and Zip you will have the
  opportunity to create password
  encrypted files to better protect your
  privacy. It's as easy as write your
  password in the box, and drag and drop
  files to Keka in the dock.




Another way is to run the command in your Terminal.app:

$ zip -e myzip.zip &lt;files&gt;


After the command you will be prompted for a password. Instead of the single files you can specify a folder, too.



I don't know of any more apps that allow you to create archives with many formats. For decrompression there are multiple great apps (The Unarchiver, Stuffit Expander).
You can give 7zipX a try, too.

Some paid alternatives:


BetterZip
StuffIt
Archiver