It appears that Sony aren't the only company facing security concerns right now, as Microsoft has had to issue a statement to help prevent players on Xbox Live from getting scammed.
The warning relates specifically to Modern Warfare 2, which has been infiltrated by a Phishing scam on Microsoft's platform. The security message read: "Users may receive potential phishing attempts via title specific messaging while playing Modern Warfare 2. We are aware of the problem and are working to resolve the issue. We apologise for any inconvenience this may cause and thank you for your patience."
There are no reports that this is affecting the PC version of the title, with the PS3 version currently inoperable online due to the problems with the PlayStation Network.