Casey Chan an editor for Gizmodo writes "Stealing ATM PIN Numbers Using a Thermal Camera Is Too Freaking Easy"
Andrew a.k.a. Modem Sniffer found a great article explaining how a thermal camera can be used to steal ATM numbers.
Criminals will attach camera to ATM or video you as you use machines, please check around the ATM prior to use for hidden cameras.
Note, these cameras appear to start in price at around 2000 USD, and to avoid is easy by choosing a machine with steal keys.
I deal with ATM and credit card fraud cases everyday. There are a few really easy things you can do to protect yourself. First it goes without saying but always be aware of your surroundings and if the ATM looks scratched up or otherwised tampered with don't use it. The second thing is when you put in your pin cover your hand with your other hand (for example if you are right handed put your left hand over your right hand when you put in your pin), this will fool pin hole cameras setup in the machine. Last one is if you are afraid of thermal cameras lightly put your fingers on other numbers that have nothing to do with your PIN.