I'm guessing that what you really want to encrypt is things like your mail, bookmarks, browser history and cookies, right? This data is not stored in the applications. Actually, personal data should NEVER be stored in applications, so encrypting them for privacy isn't really useful.
What you really want to encrypt is your personal data, which should all be stored somewhere in your ~/Library folder ("~" is Unix-y shorthand for your Home folder, in case you don't know).
FileVault will encrypt your entire Home folder, but there are many caveats to FileVault. I've heard of data loss and various quirks when using it, and Apple even admits that it's not meant for normal users. But it's the only way I know to effectively encrypt all this personal data.
You MIGHT be able to rig up something with encrypted disk images, but most apps require that their files be in specific places (like ~/Library/Application Support or ~/Library/Caches). For your own personal files, encrypted disk images are great, but for applications settings and things like that (which includes mail, cookies, bookarks, etc.), things are trickier.