My friend Cem over at Random Oracle has written a interesting post on LifeLock, I have written about these Identity Theft insurance companies before here.
I am personally signed up with Debix, I recently financed a car and it was awkward to get the financing setup because of the approval process compared to what it would be otherwise, that's really the point though, isn't it?
In any event, I can say at least in my case, I can see how the Debix brokering of the fraud alert provides a level of protection that I think is worth having, though in name of full disclosure I did not have to pay for the service and I have not gone through the personal evaluation process to determine what the cash value to me is as of yet.
I guess the real proof of value comes in when you have to claim the insurance and you see how awkward that process is
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In general though as you can see in my prior post on this topic I am a fan of such programs being underwritten by a company you know and trust, and LifeLock is self insured 
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That being said there are many types of Identity Theft, and these services don't help protect you from all of them, though they do help in the case of financially oriented threats.
Check out Cem's post though, its worth a read.