Confidentiality is a big part of consulting. In much the same way that the practice of medicine and law would be very different (and probably for the worse) if there was no confidentiality between parties, consulting (both the selling of cases and the actual act of providing advice) would be severely hampered without a basic guarantee of privacy.
I don’t know how other firms do it, but there are some general practices at the firm I work for. They are mostly commonsense (ie. don’t pass around sensitive information, keep your desk clear of confidential documents, use enterprise email to maintain access control over files, etc.), but my personal favorites are of course the provided Thinkpad T60 (with hard drive encryption) and the privacy filter: a 3M black film which restricts the available viewing angles for your screen. Therefore, when I’m on a plane or a train, I can do work with minimal fear that the passenger sitting next to me has just read secret corporate data.
It not only protects corporate data it also lets me surf the internet guiltlessly as passerbys have no idea that my screen is not actually a giant Excel spreadsheet but my Google Reader page :).