Notify credit card companies (including retail stores for which you have credit accounts), the mortgage company, and the issuer of your car note or other loans. Your credit card companies will likely close your existing accounts and issue you new plastic with a different card number. By law, you will be liable for only $50 in fraudulent charges (and it's unlikely you'll be charged for even that amount).
You may also want to close your existing savings and checking accounts, and move the funds they contained to new accounts. If your financial company isn't helping you as much as you'd like, contact the agency that oversees your bank. To find the name of this agency, call your bank or go to the Institution Search section of the National Information Center of the Federal Reserve System at www.ffiec.gov/nic.