When online gaming, do not reveal your personal information.
Be wary of users offering you cheats for the game – they can be (and often are) malware in disguise. If the game requires your information to create your account, be vigilant with your credit card activity (permanently check for any unexpected changes). Some games require access to your profile (e.g. Facebook) and offer in-game benefits (for money) that can prove to be scams.
Always install updates and patches for the online game. If you are playing online games (especially the Massive Multiplayer kind), make a habit of referring to the communities surrounding them. Forums where players are sharing information and creating best practices to deal with account security are a good place to start. Often the game operator itself contributes with information regarding secure gaming by highlighting relevant forum topics, and by displaying security tips on login-screens and loading screens. Also, keep the automatic update on for third party applications used to developing online games (Java, Flash player and so on).