TrueCrypt is the leader in the OTFE (On-the-Fly-Encryption) freeware,
where you create encrypted volumes and log into them as if you were
logging into a networked drive. Then, you can work with them as with
regular directories. When you log out ("dismount") them, they are
invisible to anybody again.
The other one is Dekart PrivateDisk Lite, it's smaller in size, but not
open-source and has less "icing".
Both are portable - you can set them up to run off a USB stick. They
are also reliable, AFAICT.
I used both, started with PDL and moved to TC.
AxCrypt is pretty good, but it's not OTFE. That means that people can
still see the files even if they can't read their content. It's also
not portable, it's an Explorer shell extension.
I would not trust the ZIP file password protection. Some ZIP programs
say they use AES but the implementation is still to be proven.