On a Mac (Lion+), use FileVault 2. It provides pre-boot full drive encryption.
On Linux, use dm-crypt/LUKS. Why oh why is this still not easy to set up?
On Windows, use TrueCrypt full drive pre-boot authentication.
On an Android phone (ICS+), use the new android full drive encryption.
On an iPhone, I imagine you're SOL?
Even though I use filevault, I keep my SSH keys and GPG keys encrypted, and I GPG encrypt anything I wouldn't want the cops reading.
What if you forget your password? You should have backups (and not just a backup password).
On Linux, use dm-crypt/LUKS. Why oh why is this still not easy to set up?
It is very easy IMO (the only differing steps are creating a crypted container and opening it). I think you mean to ask why it is not an available option in most distros' graphical installers.
Are you sure that each drive doesn't have its own key, tied to the serial number?
I haven't fully analyzed it because I couldn't get it to work with a Mac, but for PC, it looks ok.