An easy (and I believe free) way to protect yourself from ID theft is to notify the credit bureaus if ever your wallet is lost (or you feel your information was compromised). They will 'red flag' your name, SIN# (SS# in the US), etc. and will hold any applications that are filled out in your name until you confirm that you did indeed apply for them. This prevents any fraudsters from applying for credit cards, cell phones, or any other type of bills in your name.
Also, some credit card companies now offer Identity Protection - either included in your monthly/annual fees (if this is applicable) or for an additional cost. Mainly what these programs do is you register all your credit cards, your SIN#/SS#, driver's license, etc. with them, and again, if your wallet is ever lost/stolen, you just make 1 phone call, and the program will call all the cards you listed to cancel and replace them on your behalf. Also, some of these programs will wire you funds (sometimes up to $1000 or more) if you lose your wallet while travelling.
Unless you end up using the service, the fee can be quite costly - sometimes $8/month. But, if anything happens and you need to take advantage of the program, it can be a life-saver.