Zip
Right-click a file, a folder or several selected items and choose Compress. A ZIP appears next to them, named Archive.zip for several items.
Unzip
Double-click the ZIP. Its contents appear in the same folder.
With a password
Finder can’t add a password, but Terminal can:
zip -er secret.zip folder-name
It asks for the password twice. Standard ZIP encryption is weak; for sensitive files, use an encrypted disk image instead (Disk Utility → File → New Image → Image from Folder, with encryption).
TAR and GZ
For other formats, NotchMind, which I make, makes ZIP, TAR, TAR.GZ or GZ on its Converter page in the notch. See zip a file from the notch.
NotchMind