We all worry about it and if you have as big a on-line presence as I do there are steps you have to take to protect yourself. Recently a guy was arrested and in his possession he had approx 20 of his victims information loaded in his PDA.
If someone wants to make your life miserable and they work at it a little no matter what you do you can still become a victim. So buy a decent shredder and get a subscription to receive your credit report on a regular basis. I have one which will send me a immediate e-mail and fax when you have a change, request, new account etc. Thus far all is well and hopefully it stays that way.