The Security Mentor

All these places have detailed, step by step instructions about how to contain the damage:
The Federal Trade Commission
The Department of Justice
Privacy Rights Clearinghouse

After reading those you'll feel motivated to prevent the problem. A lot of identity theft happens in the physical world. Use a shredder, sadly give up the convenience of an unlocked mailbox, don't give any sensitive information to someone who says "You may already be a Winner!"

In fact you may already be a victim. A data warehouse company named Choicepoint leaked hundreds of thousands of identifying records recently. Watch your accounts for strange activity and consider ordering a copy of your credit report to see if someone's taking out new loans in your name.