Set up encryption on your drive if you're deeply worried about people recovering your deleted files. Encryption secures all your files, including both current files and deleted files. You can enable encryption with the BitLocker feature built into Professional versions of Windows or the free TrueCrypt that works on all versions of Windows. TrueCrypt can create encrypted containers or encrypt entire drives.
You'll have to provide an encryption passphrase to access your files, which will be saved to your drive in encrypted form. Even if you delete encrypted files from such a drive, the deleted files will just be meaningless gibberish without your encryption key. An attacker who wanted to recover deleted files--or access the current files on the drive--would need your encryption key.
There's another, more extreme option for protecting your data. When the military gets rid of a hard drive containing the nuclear launch codes, they don't just wipe it and set it by the curb. No, they go out of their way to destroy it just to be sure--they may even melt it down or crush it into powder. For magnetic hard drives, you can pay to have the drive degaussed--this eliminates the magnetic field and thus all the data. Or you could just smash it with a hammer and a railroad spike if you want to save cash.
Most people shouldn't be destroying drives, as it's a waste of still-usable hardware. On the other hand, if you're a business and you have an old hard drive containing customers' financial information, you may want to destroy that drive rather than risk that data falling into the wrong hands.
Remember to consider your sensitive data before getting rid of a computer or external drive. The biggest challenge here is simply knowing you need to run these tools--many people don't realize that previously deleted files can be recovered.