Since moving to Windows 7 I have encrypted all my USB pen drives and external USB disk drives with Bitlocker to go. This has been working great for me, I have noticed no performance problems and it give nice piece of mind. The only irritation is when you plug the encrypted drive into an XP or Vista PC you can’t read it, but this is meant to be being addressed.
However, I have seen one issue, this is that there seems to be a timeout if the bitlockered to go device is not accessed for a while (well over an hour is my guess, I have not timed it) it relocks itself and the password has to be re-entered. I can’t find any setting anywhere to control this timeout. I suppose the workaround is to set the bitlockered device to always automatically unlock on my PC, but I do like the security of having to enter the key manually.
The other possibility is that it is not a Bitlocker thing and it that my USB ports are resetting, and in effect reattaching the device. I suppose the effect is the same.
As my external USB pod contains mostly Virtual PC images in effect removing the underlying disk when they are running is a bit of a problem; but as long as you know it might happen you can live with it.