It's interesting to note that most ID theft does not occur online; rather, it's in the physical world. Things like discarded mail, stealing your credit card info, and stealing your wallet. Sad but true.
If you're really concerned about online ID theft, get a really good security program like Trend Micro Internet Security Pro and a password manager like LastPass or RoboForm. Anonymizer is a good program for covering your online tracks.
For the most comprehensive ID theft prevention available, check out LifeLock.