Some other things to consider:
There's a very brisk business selling files containing credit card information on hundreds or thousands of people. That data can be obtained from many sources during a transaction (hacked point of sale terminal or ATM, retailer, waiter, credit card processing service, etc). ATM & small scale point of sale data theft tends to result in a fairly prompt attempt to use the card, while wholesale theft (hacking) of retailers or processing agencies may have a much longer delay between the data from individual card being compromised and the attempt to make a fraudulent purchase from that account. In other words, just because you used your card on Tuesday and there was a fraudulent charge on Wednesday doesn't necessarily mean there's any connection between those events.
Card skimming (using devices to copy card data during the course of a normal transaction) or fake ATMs are common in many places, and something to watch for. However, the advice about checking for bluetooth signals at an ATM...um...that's pretty useless. Most skimmers don't use BT, and even if they did...how will you know which BT signal, within 30+ feet, is legitimate (ie. from someone's phone, tablet, GPS, etc) and which is from an ATM skimmer? It's not as if the bluetooth network name will read "ATM Bandito 47".
[This is an international forum, so non-US readers can skip this boring, US-specific stuff...or let us know how your consumer protection is so much better!]
If your ATM card is compromised (whether it's fraudulently used for another ATM withdrawal or used as a 'credit' card for a direct merchandise/service purchase) you are at greater risk than if it was a credit card. First of all, those fraudulent purchases/withdrawals do take real money out of your account (think bounced checks if your balance is too low). Secondly, the US federal consumer protection laws have higher liability limits on ATM compromises -- in other words, depending on the method of compromise (copied data vs. lost/stolen physical card) and when you report the problem to your bank, you may end up paying for $500 or more of some thief's spending which would not have happened with a stolen credit card.
Anecdote (because the plural of anecdote is not "data", and we've got almost no real factual data in this thread): my wife & I have had 10~15 credit/debit card compromises in our lives (the most recent last month). As far as I know, none of them have been from transactions in Mexico or anywhere else outside the US, despite extensive travel. There are plenty of ATMs (and retail stores) here that have such sketchy financial 'hygiene' that I'd never use them -- you don't need to go away for that. If you learn to be careful with your cards here, you'll probably be OK anywhere.
Oh, in my experience (see, more non-data anecdotes coming right up), the transaction costs & convenience of using an ATM on-site in some foreign country make that a much better value than exchanging money in advance. I don't know about you, but my time is much more valuable than a $2USD ATM fee (which my bank refunds anyway) and waiting on line at some bank to exchange money will take me much longer than using an ATM.
I'm looking forward to using some ATMs in CZM in a few weeks.
