Anyway of password protecting a folder in Snow Leopard or Lion? Just some sensitive files that are for not all eyes work and wondered if there was a feature for this?

Nothing that works properly.

I'd suggest an encrypted sparseimage to store your private files, or putting a password on your user account.

TrueCrypt - open source, cross platform (so it is good for files on a USB memory stick that will be transported)
TrueCrypt - Free Open-Source On-The-Fly Disk Encryption Software for Windows 7/Vista/XP, Mac OS X and Linux (http://www.truecrypt.org/)
Doesn't protect a folder per se, but creates a password protected mountable virtual volume, into which you can put your folder(s) of sensitive information.