Yes ... if you are jail broken. If jail broken, there are a number of folder lock tweaks (that can also lock apps and such). The one I know of (disclaimer:and have used) is AppLocker 2 ($0.99, USD). It works great and you can lock some, none or all of your folders or apps.
But, if you are not jail broken, have a stock iPhone, then no, there is no way to lock your folders. Sorry.
Marilyn