http://www.msnbc.com/news/998335.asp?cp1=1
Quick Blurb: Apparently, there is a sophistic scam where theive actually purchase real ATM machines and modify them to capture your magnetic strip and PIN number. Then they duplicate your card and use the dup ATM card to exhaust your bank account.
From what they mention in the article, I may give up ATMs altogether and actually talk to a teller to withdrawl from my account. Of course, you can use your ATM card while shopping since I do see supermarkets ask much much money do you want back (as if it was a withdrawl). I think debit cards works the same way. Of course, the best way is to check your account everyday to make sure your money is not withdrawed needlessly and talk to your bank to see what else you can do. Information is free.