In todays world, the credit card companies will send you dozens of unsolicited credit card offers every week. It is an easy thing for a criminal to take the mail out of an unlocked mailbox and see these unsolicited credit card offers. They can change the address on them and then use them to open a credit card in your name!
Also, people are shopping more and more on the internet. Many of these things come to your mailbox. Having a locking mailbox is essential to keeping your identity secure.