Staying Safe in Azeroth
It goes without saying that whenever you're using the internet, you should have a reliable firewall and an updated antivirus program. You should also scan frequently for malware, and be careful which web sites you visit. But even with these safeguards in place, it isn't in any way difficult for thieves and hackers to create brand new exploits that take time to be detected in these programs... so the first line of defense is to be smart about what you do and where you go.
One of the ways scammers get access to accounts is using a keylogger, which literally tracks every key you press on your keyboard - and sends this data to a network server, which can identify and report the use of passwords. These are used to break into accounts, either because the account in question is desirable, or simply because many people use the same password for many different accounts. Keyloggers are frequently concealed in programs you download online, usually the type that provide you some illicit or unfair advantage in the game.
Teleporters are a good example of this - teleporting around Azeroth is a common desire, and something that can actually be accomplished with a small network shim that alters the data before it goes to the server. But when you download an executable program, that program could be doing anything... it may not only modify the network data going to the server, but also report your character's gear to another server.
If you happen to have something that the program's author wants, it's capable of obtaining your password and giving the scammer access to your account - where he can easily hand your gear over to another account, either for his own use, or for sale on the underground gear market.
Other scammers prefer actively lying to you, so they can get you to give up your account information willingly. Whether they give the wrong link in a forum post, or send you an email claiming to be from Blizzard staff, their goal is to get your account name and password entered on a web form - they can then log into your account, and do whatever they like. Even when you have nothing worth stealing, they can use the account to exploit the game... eventually getting it banned, and leaving you without an account.
On the low-tech side of things, a lot of people troll forums looking for account names, which they can then use to try and guess your password. More insidiously, a scammer may start his own forum and use it to gather account names... operating under the idea that many people use the same account names over and over again, frequently with the same password.
Once they have your account name and password, they can simply change the password, and deprive you of the account - which they can then use to gather gold and items for sale, or as a decoy for ferrying illicit goods from one account to another. One of the best ways to protect yourself from this is with the Blizzard Authenticator, available from their online store.
World of Warcraft, while it may look like "just a game," is big business for some people... and many of them make their living by stealing accounts and cash from honest players. Be careful, and be aware of the ways these scammers might try to make you a victim