I've had my post intercepted before as well - we always get at least some post, but there were a couple of Saturdays in a row when there was none. Credit card cheques, which I neither asked for nor wanted (and are the invention of the devil) were stolen and attempted to be cashed. Yah boo sucks to them, as they also bounced because it was a 0% card and I'd already maxed the limit with a balance transfer.
We shred everything that has a name and address on, but that still doesn't stop them sending these wretched cheques and *******s nicking then before they even get to you.
Incidentally, I also recently had my wallet stolen - pickpocketed out of a zipped up handbag on a crowded P4. Although it was a pain getting all my cards back (though congratulations to HSBC, who managed to re-supply both my debit and credit cards within 48 hours), I didn't lose financially on them. The cash, however, is gone for good. For me, it's cards every time - and, yes, sometimes I use them for really small transactions - it's just a quick as rooting around for change etc.