We recently had similar trouble at our bank where someone used our debit card to take $1200 out of my account! (Almost my entire Soc. Sec.) At the time this happened, the bank (Chase) already had tried phoning us and when my son went to the branch bank where we had the last transaction, the manager there showed him on their internal bank web how it might have happened. The thieves can "bug" the ATM, put a "skin" on the ATM, photo it from a short distance, and on and on, including others mentioned above. We got credited for the illegal withdrawals the next day. Apparently, that particular ATM was targeted but Chase could not say how the theft was accomplished.
Look for small unusual attachments to the ATM face, take the time to tell if it could peel off and, most important, check your account EVERY DAY!