Yep it is very bad right now. I get tons of those emails - no bank/Paypal, etc will ever send email with links in it.
For the first time ever this month I had a whole bunch of fraudulent TX's show up. Funny thing is the bank called me about a bunch of legitimate ones but didn't flag the ones that were actually bad. I went through the list of the bad charges and they commented all the bad ones (there were over $5k in 2 days!!) looked legit and the ones I said were legit all looked less legit since they were on-line, had strange company names etc. The fraudulent ones were all done from terminals and were actual purchases... The sooner the banks require chip cards for all transactions the better. I would prefer that they do a voice confirmation for all on-line orders.
Anyway I disputed the charges and they removed them but having to cancel the card and wait for a new one is a huge pain (10 days.) On the plus side their investigation caught the people fast and I didn't end up needing to sign an affidavit or wait for the charges to be removed.
The bank has also issued me new chip cards for credit and ATM twice this year as a precaution when they suspected my card had been compromised. There seem to be a lot of pin stealing card readers in stores these days...