The internet is full of information and there are some websites, like spokeo.com that are dedicated to collecting and selling your personal information to anyone who wants it. If you want to remove your personal information from websites like that, there are usually instructions for doing so in the help section of the website.
You can protect your identity by never giving out personal information like your social security number over the phone, through the mail or over the internet unless you know who you are dealing with.
Also avoid disclosing personal financial information when using public wireless connections. And never click links sent in unsolicited emails.