I used to work for The Halifax investigating fraud and O2 Carphone Warehouse came up a lot. What they'll do is, if you've been abroad and used a dodgy machine or if you've been to an asian motor garage where they've got cameras up OR if someone's swiped your card TWICE, this is a way for them to get your card and pin details and they can then make a clone. Once they've made the clone they will then test it with a small amount (usually a pound or less). If that goes through then they will order a load of stuff.
what could be happening is that they're ordering stuff to your house to make it look as though it's you who is doing the buying, that way they could be trying to discredit you with the bank so that eventually they won't be so quick to stop the fraudulent activity.
Hugh – next time it happens, take along a mate and a baseball bat and either follow the fraudster home or sort him out when he tries to leave the depot (quietly, in an alley, making no reference to how you know who he is).
I wouldn't do this if i were you unless you wanted to do time for assault.
What you might have to do is keep a close eye on your account statements and look out for very small "tester" transactions. They could be as small as 1p. If you notice one of these you must tell your bank ASAP. also make sure that whenever you use your pin, wherever it is, cover it with your hand because if it's a valid chip and pin transaction the bank will not refund your account.
It might also be worth asking your bank if closing your account and opening a new one would be worth doing, especially if you're getting repeated attacks on different card numbers.