For anything I'm ok with being public, I use the same pseudonym (Noleli or +2 if need be). That is my online identity.
I don't use Google products (except for search and maps, and that usually logged out), which helps.
My main concern isn't so much individual identity thieves as corporations using me and my data as their product. I do still use Facebook, but I find distributed, open-source alternatives much more appealing. I'm really interested to see what Diaspora comes up with — though I'm sure it won't live up to the hype — and I'd love to switch to Identi.ca, but network effects have me tied to Twitter at the moment. They'll never do it, but Twitter should federate to Status.net like Gtalk does with XMPP.
For the sake of autonominity (that's a word…), I do download my Tweets once in a while. I love Dropbox because I can still keep my stuff locally and they don't have a mine-for-ads business model.
Basically, I distrust the cloud and corporations, but I trust (most) individuals, and I want to have my data on disks I can see.