It goes without saying that many, if not all, compression programs can also do encryption. Some are better at this than others. For instance, 7-Zip does a wonderful job and is free (see compression). Also, many office suite programs can save their files as encrypted (usually just password protected). Windows has the built-in BitLocker. BitLocker is a fairly powerful encryption tool, and you may not need anything else.
There are several different categories of encryption, including Full Disk Encryption (FDE), file encryption, removable device encryption, and others. There are also several different types of encryption including AES, 3DES, Twofish, and RSA. I have listed a few encryption programs below.
GPGCrypt
VeraCrypt
TrueCrypt
PC MAG review of applications
Heimdal Security review of Applications