I don’t think there is a Data Breaches dot Gov website yet, but maybe there should be. The FTC website has information, but it still seems to rely on businesses and other organizations taking the initiative to alert their customers about the breaches.
Here are some data breach information websites:
1) Privacy Rights Clearinghouse Chronology of Data Breaches (2005 to April 2011)
There are a lot of other consumer dot gov websites: