Having been the victim of identity theft multiple times, I can tell you the thieves are getting more nimble. They are stealing more information multiple ways.
Basically, cyberthieves can steal Social Security and bank account numbers that can unlock access to credit. They will open new applications in your name and start spending away.
Recently some thieves did this to me, using my name to open up a credit card and loan application halfway across the country. They were unsuccessful, but I know they will try again. Had I not opened some envelopes that I would normally toss as junk mail, I would never have caught on and stopped the scam.