The Prophet said, "A woman should not travel except with a Dhu-Mahram [an Islamic legal category covering a woman's husband and any man she cannot legally marry], and no man may visit her except in the presence of a Dhu-Mahram." (Hadith - Bukhari 3:85)
From Ibn 'Abbaas: "I heard the Messenger of Allaah deliver a sermon saying, 'Do not leave a man alone with a woman, except that there is with her a mahram (Dhu-Mahram), and do not let a woman travel except that she has with her a mahram.' So a man stood up and said, 'O Messenger of Allaah! Verily my woman has left for Hajj, and verily I am enrolled in a battalion in the battle of such and such'. He said, 'Release yourself so that you may perform Hajj with your woman.' " (Hadith - Muslim, 4.104)