I found out when I went to e-file and was informed someone had already e-file with my SSN.
Here is a step you can take (in my non-professional opinion) to reduce your risk.
The IRS has a site where you can create an online login to get transcript of past returns. I found someone had set up an account using my SSN, and I believe they used this information to submit the fraudulent return. They security questions they ask can be found with internet searches (when was your home built, etc.) I suggest you create a login before someone else does it for you.
http://www.irs.gov/Individuals/Get-Transcript