I've had this happen a couple of times. Most recently, Amazon contacted me and told me that my credit card was being used in a suspicious manner. They track this information if you store your credit card data with them. I think it was pretty nice of them. Someone was buying stuff and shipping it to China. So we canceled that card.

I also had a wallet stolen from on my desk at work when I was in san Diego. Some woman applied for some credit cards, and I ended up putting a fraud alert on my TRW, etc. I recommend the fraud alert, in general. It's a pain in the neck because it makes it hard for you to get credit sometimes (they have to go through additional steps to verify your identity - DH had trouble getting the 90 day same as cash deal on a TV once because of the fraud alert ), but it is worth it.

Good luck!