You can also use symmetric encryption, where the same key is used to decrypt the message as is used to encrypt it. Depending upon the encryption algorithm used, this can be more secure than public key encryption when JorgeM talks about. The major issue with this is how to securely exchange keys with the other party. Obviously, if you can make the exchange personally without sending over the network or other public communication medium, then it is a true private key exchange.
In fact, a lot of secure communication is handled this way, after a fashion. The cost to encrypt/decrypt using public key pairs is high in computer cycles and time, so often a symmetric key is transmitted using a public key system (such as PGP). That key is much shorter than a communication that may be hundreds or thousands of pages of data, so you pay a lot for a little message (the symmetric key) and less for the bigger part of the communication.
A great book that covers these subjects in a very readable manner is Bruce Schneier's "Applied Cryptography". First published in 1994, it is the "bible" of many professional security engineers today.