Be careful about using your PIN # for debit card transactions. If you use the PIN you don’t have the same consumer protections like being able to do a chargeback, or fraud insurance. If you use it as a credit card then the money still comes out of the same account, but you have all the same protections as if you had used a regular credit card. You just can’t get cash back if you don’t use your PIN.
You do have the same protection, but you MUST contact the bank as soon as you find out that fraud has been committed, in order for that protection to be triggered.
If you use your debit card regularly, you should have an online set up for checking your account regularly to make sure there hasn't been any fraudulent use of your card.