Storing sensitive data on encrypted filesystem is very good practice. This way no one can access data of stolen computer - data is unaccessible after reboot. After booting the machine, secret passphrase must be entered before the data can be accessed.
Here are steps that I have taken to encrypt MySQL database under Debian/GNU Linux (testing/unstable).
http://pio.networklinux.net/blog/2006/09/5-easy-steps-to-secure-your-database.html