Use good judgement
The best weapon against identity theft is due diligence and good judgement.
Whether you clicked on a hyperlink or you stumbled on a website through a search engine, before you enter your information online, make sure it's an official site. Appearances can be deceiving and, although you may think you're on your financial institution's website, it could be a fake that just looks official. The web address might even be similar. That's why it's always best to manually type the address into your browser's navigation bar.
Ask yourself how the information they're asking for is relevant and justified. For example, why do they need your social insurance number to enter a contest?