A little DIY case I threw together using a ruler, an Exacto knife, plastic from a blister pack, and some 4-40 hardware I had lying around:
It's not especially protective, but it will keep random stuff from falling on it and shorting something out.
The trick to making this is to start with the rectangular hole for the guarded probe connector because it's the hardest part to get right. Once you have cut a hole you like, use the edges of the Bus Pirate itself as a guide and lightly score the other edges one at a time to mark them. Use a straight edge to cut the marks deeper. It's faster to finish the cuts with scissors.
If you're not familiar with 4-40 hardware: 4-40 is a standard thread size. You can find 4-40 hardware in serial, parallel, and video D-sub connectors. They're often used in RC models too, judging from a quick ebay search. Sometimes the hardware store will carry 4-40 nuts and bolts.