The Security Mentor

via Bruce Schneier's blog: possible major Citibank ATM compromise.

Details are hard to come by. Here's the closest thing to an official statement. What we know so far is that if you try to use your Citibank ATM card outside the US (specifically in Canada, the UK, and Russia) it may get frozen, and you'll be locked out of your account until you get a new card, which you can only do in the US.

UPDATE 3/8/06:

Anonymous "banking executives" say the problem was a leak of information from Office Max, which was storing PINs.

How do you protect yourself against things like that? For one thing, limit the damage by using a credit card rather than a debit card. Federal law protects you from liability from credit card fraud. Only the good nature of your bank protects you from getting stuck for debit card fraud.

Aside from that you're pretty much at the mercy of the merchants you do business with. Keep watch and consider supporting legislation, if any gets proposed, to require credit card processors to take minimal precautions.