Lon mentioned the two I would have mentioned (I like Locktopus myself), but it's worth mentioning that biteSMS has a nifty built in "secret text" feature for those messages you don't want anyone to see. It's nice because locking it down with Locktopus or Lockdown kinda gives the impression that you have something to hide, whereas with the built-in biteSMS feature, the texts you choose to hide just don't show up...until you tap a certain area and enter a password.