I never expect to have my identity stolen, but it would be naive to think it can't happen.  Time is of the essence when your personal information's stolen.  The sooner you can catch it and put a stop to your credit cards and put flags on your credit, the better off you're going to be. 

My favorite tip is photocopying what's in your wallet.  I know if I lost mine, I'd be in a panic and trying to think back to what I had in there and trying to find numbers to cancel my credit cards.

If your identity/personal information has been stolen, the Federal Trade Commission is a great resource.
Here's a link to some helpful information:

http://www.ftc.gov/bcp/edu/microsites/idtheft/