The Federal Trade Commission's site has some decent tips:http://www.ftc.gov/bcp/edu/microsites/idtheft/
The practices I follow just revolve around common sense stuff designed to minimize exposure of any of my personally identifying information:
* when shopping online, never click on the check box to save your CC information for a future purchase, if you can help it. Get used to entering your CC info every time. Some sites require registration and a credit card number which they store whether you want them to or not, but if so, make sure you use a REALLY SECURE password for that site, and a username that doesn't provide a connection to you (ie; not your email if you can possibly avoid that).
* never, ever use paper CC forms unless you absolutely can't avoid it.
* be very wary of giving your SSAN to ANYONE except for government agencies.
* avoid putting your real birth date on the web. I usually enter one that is offset from my real day, month, and year by amounts I can remember so if they ever ask me for it later to verify my identity (for example if I lost my password to the site) I can remember the "right" one.
* avoid providing your DL number to anyone but government agencies.
Think twice and thoroughly check out any email you receive asking you to do anything that involves your banking, credit card, financial, or personal info. Might sound obvious, but there are some really good fake emails and scams going around, it's not all easy-to-spot 419 scams.
And so on.