It happens all over. I check any ATM I use before putting my card in it.
Also, avoid those independent ones at all costs. You know the little ones you find in bars and malls that aren't affiliated with a bank. You don't need a special license or anything to buy one, just 3000 bucks or so. People have set them up in a mall with a couple of thousand bucks in them, then used the info collected to pillage the accounts of everyone that used it.
has some interesting ATM stories in their archives, including a recent one where the guys brought home the device they found and dissected it