Don't carry your Social Security number on documents in your purse or wallet; change your driver's license or any other documents to different numbers.
Lock your mailbox and stop mail service when you're out of town for more than a few days.
Shred your trash with a cross-cut shredder.
Be careful what you say about yourself in public — especially when you're on your cellphone.
Protect your computer with a firewall, anti-virus software, or a program that removes spyware.
Monitor your credit reports. If someone has stolen your identity to open a new account, it should show up as an entry into one or more of the three reporting agencies that keep track of your credit history. All of them — Experian, Equifax, and TransUnion — monitor your credit, and you're entitled to one free report per year from each agency.
Further resources for information on identity theft: