Identity thieves see your mailbox as an easy target, and will help themselves to your mail (incoming and outgoing), but you can protect your missives. First, always pick up your mail promptly, and don't leave outgoing mail in your mailbox -- send it from the post office or through a postal service mailbox. That goes for when you're on vacation, too; use a mail hold when you'll be away from home. Also, considering swapping your mailbox for one that locks -- or for a post office box.
Identity thieves may also redirect your mail to a different address, so follow your billing cycles closely. If you're not signed up to receive your bills online, make sure that your paper bill is hitting your mailbox on schedule (monthly, quarterly, whatever the bill's schedule happens to be – it pays to know it).