I bought a few USB drives to use as storage backups, but when I plugged them in I found that OSX wouldn't let me format them with an encrypted file format. Apparently the problem is that out of the box they were set up with an MBR partition table but the Mac OS Extended encrypted format required GUID. So why doesn't Mac OS Disk Utility just give you the option of changing the partition table format? Anyway, this does it:
From there you can reformat it to an encrypted format using Disk Utility.
diskutil partitionDisk /dev/disk4 GPT JHFS+ New 0b
From there you can reformat it to an encrypted format using Disk Utility.