If you use Outlook with Exchange and offline caching, this can be a security problem. The .ost files are easy to copy and convert to .pst files to read your stored mails without any authentication data.
In Windows 7 Pro, you can use EFS to encrypt certain files and folders. After encryption, they are only accessable via your Windows user account. So when re-installing Windows, be careful to save the certificate.
To enable EFS for a file, right-click the file in Explorer -> Properties -> Advanced… -> Enable encryption.