You can also use Stuffit Delux to compress the files and put a password on the archive. Another choice is to install GPG or PGP. I believe they both have methods of encrypting files.
I think the encrypted disk image is the best solution though.
But the short answer to your question is, "No, the OS doesn't have anything like that built-in."
[Edit: if the person is not the same user as you on the computer and isn't an admin, then you can just change the permissions of the file so only you, the owner, can read and write it. This is useless, however, if the person has access to your account or has an admin account on the system.]