I heard it's best to assume you are compromised. I read somewhere the top three steps are:
1. Get a free copy of your credit report from all three credit services: TransUnion, Equifax and Experian. Check your FICO score too.
2. Change passwords monthly. (Easy to remember phrases are now recommended.)
3. Sign up for a service such as LifeLock. It's expensive though. It would be nice if Equifax was required to provide free service.
Some are going so far as to freeze their credit. If you aren't planning on buying a home or car, this may work for you. It's a pain to unfreeze it.