There's a new study out today that looks at identity thieves and how they operate. Lot of good stuff here, including a profile of the "typical" identity thief.
I think the most important point is that most identity thieves aren't using the Internet, though that it is part of the problem. Instead, they use change-of-address cards to get your mail and private information. They also go Dumpster-diving or steal mail.
Here's a link to the group that did the study -- with any luck, a full version should be available online later.
And here's a site with more information about identity theft.