My bank just emailed about a scam in our area. Three banks in Nashville have been victims of ATM skimmers in the last few weeks. These are devices placed over the existing slot on an ATM. They catch the magnetic strip information as the card passes through. At the same time, a small camera is placed near the keypad, such as on a brochure rack, that records your PIN as you key it in. Stay alert for unusually protruding slots or plastic trim which is a different color from the rest of the machine.
When I must use an ATM, I go to a grocery and use the free cash-back option at the checkout. Even if you have to buy a pack of gum, your total cost is still less than the typical ATM fee (plus, you get the gum!). It's safer, too--both from scammers and muggers.