We have always taught our boys that they are not to give any real info out while they are online. They are to only use their screen name and it must have nothing to do with their real name. They aren't even allowed to say what state they live in. There are a lot of sick people out there that will do anything to lure a child.
If our boys are playing an online game they aren't allowed to chat unless we are sitting right there with them. It also helps to have the computer in a central location where you can see what they are doing at a glance. It is amazing how scary a world it has become