Most fraud at ATM machines are done by attaching extra card reading devices ( ATM skimmers ) that look like the machine itself and getting the info required. Below clip from UK show "The Real Hustle" shows you, from start to finish, how scammers steal your card info.
That’s why, I never enter Debit PIN other then inside the Bank. Another option is use the Debit card as Credit by signing wherever possible and availing fraudulent use protection and Zero Liability Policy from Visa or other processors.
[ via Consumerist ]