According to the Chicago Tribune (registration required), a man named David Dright of Chicago got a hold of financial records for 91 Major League players, including Jim Thome, Moises Alou, and Pedro Martinez.
He found unshredded loan applications, tax returns, and other private documents in a dumpster next to the SFX agency in Northbrook, IL. Dright has a past history of identity theft, with Juan Pierre and Miguel Tejada involved among others.