Shred all pre-approved credit offers and any other paperwork that contains personal financial information.
Check all of your bank, credit card and brokerage statements for discrepancies as soon as they arrive.
Order a credit report once a year.
Don't give out your Social Security number or carry your Social Security card/number in purse or wallet.
More on that here: Social Security Number
Be cautious about giving out personal/financial info over the phone. Be sure you know who you're giving the information out to and what they plan to do with it. Note that your bank will never call and ask for your PIN and other password info.
If you'll be away from home and can't arrange to have your mail picked up regularly, have the postal service put your mail on vacation hold. Call 1-800-275-8777 to arrange this.
Keep track of when bills, statements, checks and other financial information arrives every month. If expected mail doesn't arrive on time, follow up on it promptly.