A friend who is switching from Yahoo mail to Apple's Mail app asked me if there was anyway to password-protect Mail so that roommates, who have access to his Mac, can't easily peruse his mail. After poking around the web I stumbled upon MacAppBlocker, and installed it on my MacBook Pro to test it. I've only used it a short time, but it does exactly what the developer says: keeps anyone who doesn't know your password from opening protected apps.
The app is very easy to configure and use, and you're alerted if someone does try to access one of your protected apps: MacAppBlocker's menu icon turns red. Oops, busted.
MacAppBlocker is not a high-security app; a computer-savvy intruder can access documents other ways than thru the app which created them. But in a casual setting (family computer use, roommates, etc) it might be a fine solution.
And no, I have nothing to do with the developer; I'm just fairly enthusiastic about the app, which seems to be well done.