I've liked to use my debit card - it's like cash, only without the bother of carrying around cash. It turns out that this is getting dangerous - "Skimmers" are devices that thieves add to point of sale cash registers and to ATMs that record the Debit card account number and PIN. The thieves then use this to clone ATM cards and drain bank accounts.
Skimmers are getting quite sophisticated and can send data via cell phone text message (i.e. to thieves anywhere in the world).
Brian Krebs has a hair raising post about how these work and you should definitely read the whole thing. Gas pumps in particular are being targeted, but this could be done anywhere.
Your credit card company will cover you if the Bad Guys swipe your card number. Your bank will probably cover you, but it might take a while and you'd go through a whole lot of hurt until they did. Use your credit card for purchased, and treat your debit card like an ATM card (and only use it at your bank, which will have much better security for the ATMs than other businesses will).