After writing the safer online shopping guide several readers asked for guidance in how to pick a trusted vendor.  Well, I just wrote a guide for that as well which you can read here.  Essentially it comes down to this (and not all need to be met):

1) Use well-known merchants
2) Use merchants with physical addresses
3) Use merchants with registered businesses
4) Use merchants you have a personal relationship with
5) Use merchants with good reputations

If you don't trust the merchant, use a third-party payment system such as PayPal where no account information is exchanged.  Of course, this won't prevent problems but it will help consumers avoid malicious versus negligent or unlucky businesses.  For good reading on how identity theft is being made easier, take a look at Brian Krebs' excellent article and blog post on the subject.