Whoever is stealing your info is being smart. They know that the instant they start using your card, the clock is running out. No matter what they buy, there is a chance you will notice. So, they can either
a) get as much value out of the card as possible as quickly, using your reaction time against you
b) try to be sneaky. They might get more money, or they might get less.
These people work on the principle of volume - they want to turn over as many cards as possible in as short a time as possible, to maximize their profits.
So, the compromise your card, they sell it on one of the myriad of sites just for that purpose for $50, and move on - they just made $50 for a relatively small amount of work.
The gold farming WoW thief that bought it then moves to quickly make as much off it as he can, knowing the WoW accounts will be close relatively quickly - but in that time he turns the $50 he spent on your card into WoW "gold" and then turns that into $100. Don't think about the $500 he "spent" on the WoW time - *he* didn't spend $500, he spent $50.
I've know people in the position to turn over to the credit card companies a significant fraud operation - hand it to them on a silver platter, all the CC company had to do was contact the police at the destination and they could have busted a group committing over $10K of fraud. The CC company wasn't interested - "Just don't send them the goods, or we will hold you accountable, bye [click]".
After all, why SHOULD the CC company care? They have successfully externalized the cost of fraud: for all they complain about fraud "costing them" millions, it doesn't cost them jack, as they just charge it all back to the vendor, even though the vendors did everything "by the book" and the CC were the ones who said the purchase was legit.
The only way this will get fixed will be to force the CC companies and banks to internalize the cost of fraud: If the merchant did all the steps to confirm the purchase as valid, and the CC said it was valid, then the merchant is off the hook, the card owner is off the hook, and the CC must eat the cost. Don't let the CCs charge annual fees, don't let them charge for balances paid off in full within the grace period, encourage people to do just that, and suddenly, when somebody calls the CC company to report fraud, the CC WILL call the cops - hell, they will likely start using the Pinkertons to follow up on fraud in the cases where the cops cannot or will not.
Bringing it down to a personal level:
1) Don't use a debit card for ANYTHING. Your risk exposure is too high.
2) Get a credit card that supports creating virtual sub-cards.
3) Set up a sub-card for each recurring charge you have that needs to be on a CC. Set a limit just over the maximum amount that account should see. Fund those cards only as needed.
4) Set up sub-cards for the various on-line sites you shop with. Again, set the limits reasonably, and fund them ONLY when needed.
5) Some CCs will allow you to have a secondary "low limit" card for daily use. Get that, and use it for things like restaurants and gas.
6) ONLY use the high-limit card for big ticket items. Don't let it out of your sight. Don't carry it unless you plan on needing it.
And I agree: ditch your bank. If you are getting zapped once a year, either you are being careless or you bank is. You can change the bank as a variable, as it will be more difficult to change your behavior.