The Bouncy Castle Cryptography Package
In the J2SE world, Sun provides support for cryptography through the Java Cryptography Architecture (JCA) and the Java Cryptography Extension (JCE). The problem, of course, is that the JCA and JCE are too heavy for the MIDP platform. MIDP 2.0's HTTPS support is very useful, but it's definitely not a general-purpose cryptography toolkit.
If you're looking to move beyond HTTPS, your best bet is the Bouncy Castle cryptography package, an open-source effort based in Australia. It's a wonderful piece of work, featuring a clean API and a formidable toolbox of cryptographic algorithms. There are several other open source cryptography packages around the world, but Bouncy Castle specifically offers a lightweight J2ME distribution of their software. To download the package, go to http://www.bouncycastle.org/, follow the link for latest releases, and choose the J2ME release. As I write this, the current version is 1.17.
Download the zip file into the location of your choice and unpack it. If you're using the J2ME Wireless Toolkit, just drop the midp_classes.zip file into the lib directory of your project. You can go ahead and write MIDlets that use the Bouncy Castle packages.