Pyrite was written just for this purpose. It's not packaged yet -- so not in the repos; you'll have to follow a few instructions to download and extract it to a location of your choice manually, but it works wonderfully IMHO. (I would say that though.. since I'm the developer.)

As bessman mentioned, seahorse-nautilus is the way to go if you want to asymmetrically-encrypt files in the file browser. (In addition to text, pyrite can do symmetric & asymmetric encryption of files, but it's not integrated with Nautilus.)

Finally, check out the answer on this older question for more details on setting up gedit with gpg.