I tried to check my credit reports at annualcreditreport.com, but was denied access. To verify my identity I was asked who my mortgage was with and how much my monthly payment was. Their records say I got a mortgage in may 2006, but I have never applied for one.
You should have a choice of several verifications, including prior addresses, prior employers, accounts, etc. (I just ran mine on Transnation to make sure.) You do not need all of them to verify your identity: press "skip" when it asks about your mortgage and go on to the next question instead.