Yep, if you have a Capital One card you can set up a travel alert so that your card will not be denied in a foreign country. Additionally I have alerts set up to send me an email any time a transaction over $200 is made. These alerts get sent out immediately so I can make sure nothing I didn't authorize is being charged.
I got pretty paranoid after having fraud occur on three completely different cards, three different banks, within a one-year period in the US. It can happen anywhere. Fortunately, in all cases I was not responsible for any of the charges. The largest was someone who charged $2000 to Lowe's home improvement for appliances. A big investigation ensued. Don't know if they ever caught the guy, but I was not responsible for a penny.
In all the cases, the purchases were made online and I still had the card in my physical presence, so my data was stolen somehow. The cards were cancelled and changed immediately.