This article is well worth reading and covers the following areas.

1. Phishing
2. Pretexting
3. Fake Job Offers
4. Skimming
5. Dumpster Diving
6. Pickpocketing and Purse-Snatching
7. Malware and Spyware
8. Fake Tax Filing
9. Change of Address
10. Data Breaches

http://moneyland.time.com/2012/04/17/10-ways-youre-going-to-get-your-identity-stolen/#all