I myself have never experienced Identity theft.
When I'm shopping online I always look out for the HTTPS to show that it is a secure website, and make sure that I trust the website by the look of it, as I wont use a shoddy website that does look like it was thrown together and will not be safe.
I have had fake emails from my bank, that features URLs that look like they go to your bank but infact take you to their servers so when you log in, they get your details.
I have also had this problem with fake websites trying to pass off as facbook or myspace, but my internet security flags this up. I try to be very vigilante to spot the URLs destinations.
The above is described as phishing and my Norton Internet Security prevents this and shows me the saftety of the website.
Anyone ever been victim of phishing?